Is Violation of the Random Walk Assumption an Exception or a Rule in Capital Markets?

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60460709%3A41110%2F20%3A83801" target="_blank" >RIV/60460709:41110/20:83801 - isvavai.cz</a>

Výsledek na webu

<a href="https://link.springer.com/article/10.1007/s11293-020-09686-y" target="_blank" >https://link.springer.com/article/10.1007/s11293-020-09686-y</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s11293-020-09686-y" target="_blank" >10.1007/s11293-020-09686-y</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Is Violation of the Random Walk Assumption an Exception or a Rule in Capital Markets?

Popis výsledku v původním jazyce

Both the efficient market hypothesis and modern portfolio theory rest on the assumptions of the Gaussian probability distribution and independence of consecutive returns. This paper provides a brief excursion into the history of capital market research. A measure of long-range dependence (Hurst exponent) was applied to daily returns of selected stock indices and individual firms. The Hurst exponent was estimated using rescaled range analysis. The estimates are based on an unusually large sample of empirical-time series from capital markets. This method distinguishes whether the data-generating process follows random walk or exhibits antipersistent or persistent behavior. Both the efficient market hypothesis and modern portfolio theory assume that the data-generating process has no memory, i.e. follows Brownian motion. The random walk process is characterized by a Hurst exponent value of 0,5. Values greater than 0,5 and less than 1 indicate a persistence of local trends. Values between 0 and 0,5 indic

Název v anglickém jazyce

Is Violation of the Random Walk Assumption an Exception or a Rule in Capital Markets?

Popis výsledku anglicky

Both the efficient market hypothesis and modern portfolio theory rest on the assumptions of the Gaussian probability distribution and independence of consecutive returns. This paper provides a brief excursion into the history of capital market research. A measure of long-range dependence (Hurst exponent) was applied to daily returns of selected stock indices and individual firms. The Hurst exponent was estimated using rescaled range analysis. The estimates are based on an unusually large sample of empirical-time series from capital markets. This method distinguishes whether the data-generating process follows random walk or exhibits antipersistent or persistent behavior. Both the efficient market hypothesis and modern portfolio theory assume that the data-generating process has no memory, i.e. follows Brownian motion. The random walk process is characterized by a Hurst exponent value of 0,5. Values greater than 0,5 and less than 1 indicate a persistence of local trends. Values between 0 and 0,5 indic

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Atlantic Economic Journal

ISSN

0197-4254

e-ISSN

1573-9678

Svazek periodika

neuvedeno

Číslo periodika v rámci svazku

N

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

15

Strana od-do

1-15

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85097202057