In: Ekonomický časopis/Journal of Economics, vol. 63, no. 10
Peter Árendáš - Božena Chovancová
Detaily:
Rok, strany: 2015, 1003 - 1018
Kľúčové slová:
share market, BRIC, market efficiency, adaptive markets hypothesis, variance ratio test
JEL Classification: G10, G14
Typ článku: Vedecký / Article
O článku:
The efficient market theory is one of the most controversial economic theories of the last half-century. The market efficiency has been topic of various studies, but the results are mixed. Although some of the studies confirmed efficiency of a market, another studies often rejected it. As a result, the adaptive market hypothesis was formulated. It says that the ability of share prices to reflect all the available information changes over time. This paper analyses the development of weak-form market efficiency of BRIC share markets. It shows that although the BRIC share markets are weak-form inefficient in the long-term, there are some shorter time periods of weak-form efficiency that alternate with periods of weak-form inefficiency. It means that technical and fundamental analysis can be used on BRIC share markets to generate returns superior to returns of the market portfolio.
The efficient market theory is one of the most controversial economic theories of the last half-century. The market efficiency has been topic of various studies, but the results are mixed. Although some of the studies confirmed efficiency of a market, another studies often rejected it. As a result, the adaptive market hypothesis was formulated. It says that the ability of share prices to reflect all the available information changes over time. This paper analyses the development of weak-form market efficiency of BRIC share markets. It shows that although the BRIC share markets are weak-form inefficient in the long-term, there are some shorter time periods of weak-form efficiency that alternate with periods of weak-form inefficiency. It means that technical and fundamental analysis can be used on BRIC share markets to generate returns superior to returns of the market portfolio.
Ako citovať:
ISO 690:
Árendáš, P., Chovancová, B. 2015. The Adaptive Markets Hypothesis and the BRIC Share Markets. In Ekonomický časopis/Journal of Economics, vol. 63, no.10, pp. 1003-1018. 0013-3035.
APA:
Árendáš, P., Chovancová, B. (2015). The Adaptive Markets Hypothesis and the BRIC Share Markets. Ekonomický časopis/Journal of Economics, 63(10), 1003-1018. 0013-3035.