Robust Approach to Verifying the Weak Form of the Efficient Market Hypothesis

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F11%3A00175519" target="_blank" >RIV/62156489:43110/11:00175519 - isvavai.cz</a>

Výsledek na webu

<a href="http://proceedings.aip.org/resource/2/apcpcs/1389/1/426_1?isAuthorized=no" target="_blank" >http://proceedings.aip.org/resource/2/apcpcs/1389/1/426_1?isAuthorized=no</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1063/1.3636754" target="_blank" >10.1063/1.3636754</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Robust Approach to Verifying the Weak Form of the Efficient Market Hypothesis

Popis výsledku v původním jazyce

The weak form of the efficient markets hypothesis states that prices incorporate only past information about the asset. An implication of this form of the efficient markets hypothesis is that one cannot detect mispriced assets and consistently outperformthe market through technical analysis of past prices. One of possible formulations of the efficient market hypothesis used for weak form tests is that share prices follow a random walk. It means that returns are realizations of IID sequence of random variables. Consequently, for verifying the weak form of the efficient market hypothesis, we can use distribution tests, among others, i.e. some tests of normality and/or some graphical methods. Many procedures for testing the normality of univariate samples have been proposed in the literature [7]. Today the most popular omnibus test of normality for a general use is the Shapiro-Wilk test. The Jarque-Bera test is the most widely adopted omnibus test of normality in econometrics and related

Název v anglickém jazyce

Robust Approach to Verifying the Weak Form of the Efficient Market Hypothesis

Popis výsledku anglicky

The weak form of the efficient markets hypothesis states that prices incorporate only past information about the asset. An implication of this form of the efficient markets hypothesis is that one cannot detect mispriced assets and consistently outperformthe market through technical analysis of past prices. One of possible formulations of the efficient market hypothesis used for weak form tests is that share prices follow a random walk. It means that returns are realizations of IID sequence of random variables. Consequently, for verifying the weak form of the efficient market hypothesis, we can use distribution tests, among others, i.e. some tests of normality and/or some graphical methods. Many procedures for testing the normality of univariate samples have been proposed in the literature [7]. Today the most popular omnibus test of normality for a general use is the Shapiro-Wilk test. The Jarque-Bera test is the most widely adopted omnibus test of normality in econometrics and related

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

—

Projekt

—

Návaznosti

V - Vyzkumna aktivita podporovana z jinych verejnych zdroju

Rok uplatnění

2011

Kód důvěrnosti údajů

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

Název statě ve sborníku

NUMERICAL ANALYSIS AND APPLIED MATHEMATICS ICNAAM 2011: International Conference on Numerical Analysis and Applied Mathematics, AIP Conference Proceedings

ISBN

978-0-7354-0956-9

ISSN

—

e-ISSN

—

Počet stran výsledku

4

Strana od-do

426-429

Název nakladatele

American Institute of Physics

Místo vydání

Melville, New York

Místo konání akce

Halkidiki, Greece

Datum konání akce

19. 9. 2011

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

302239800105