On sectoral market efficiency
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F24%3A00135325" target="_blank" >RIV/00216224:14560/24:00135325 - isvavai.cz</a>
Výsledek na webu
<a href="https://doi.org/10.1016/j.frl.2023.104949" target="_blank" >https://doi.org/10.1016/j.frl.2023.104949</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.frl.2023.104949" target="_blank" >10.1016/j.frl.2023.104949</a>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
On sectoral market efficiency
Popis výsledku v původním jazyce
A multi-fractional Brownian approach is used to measure the level of sectoral market efficiency through the Hurst exponent, using S&P 500 and sectoral indices data between 2002 and 2022. Our results show that each sector has a particular level of market efficiency, and it cannot be statistically represented by the aggregate market efficiency. However, there are long and short-term relationships between the efficiency of each sector and the level of market efficiency, which tend to vary from one sector to another. Besides, during periods of crisis, market efficiency by sector decreases sharply, and the cross-correlation of efficiency between sectors tends to increase. On the other hand, during the bull periods, the market efficiency could be considered a good hypothesis for the different sectors.
Název v anglickém jazyce
On sectoral market efficiency
Popis výsledku anglicky
A multi-fractional Brownian approach is used to measure the level of sectoral market efficiency through the Hurst exponent, using S&P 500 and sectoral indices data between 2002 and 2022. Our results show that each sector has a particular level of market efficiency, and it cannot be statistically represented by the aggregate market efficiency. However, there are long and short-term relationships between the efficiency of each sector and the level of market efficiency, which tend to vary from one sector to another. Besides, during periods of crisis, market efficiency by sector decreases sharply, and the cross-correlation of efficiency between sectors tends to increase. On the other hand, during the bull periods, the market efficiency could be considered a good hypothesis for the different sectors.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
50206 - Finance
Návaznosti výsledku
Projekt
—
Návaznosti
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Ostatní
Rok uplatnění
2024
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Finance Research Letters
ISSN
1544-6123
e-ISSN
1544-6131
Svazek periodika
61
Číslo periodika v rámci svazku
March
Stát vydavatele periodika
US - Spojené státy americké
Počet stran výsledku
9
Strana od-do
1-9
Kód UT WoS článku
001157507800001
EID výsledku v databázi Scopus
2-s2.0-85181943623