تجزیه و تحلیل نوسانات چندفراکتی بازده بازار مالی: مقایسه با استفاده از شاخص های ETF سابق بخش Dow Jones A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices
- نوع فایل : کتاب
- زبان : انگلیسی
- ناشر : Elsevier
- چاپ و سال / کشور: 2018
توضیحات
رشته های مرتبط اقتصاد
گرایش های مرتبط اقتصاد پولی
مجله فیزیک A: مکانیک آماری و کاربرد آن – Physica A: Statistical Mechanics and its Applications
دانشگاه Center for Energy and Sustainable Development (CESD) – Montpellier Business School – France
منتشر شده در نشریه الزویر
کلمات کلیدی شاخص بخش فرضیه بازار کارآمد، تجزیه چند فاکتوریل، بحران مالی جهانی
گرایش های مرتبط اقتصاد پولی
مجله فیزیک A: مکانیک آماری و کاربرد آن – Physica A: Statistical Mechanics and its Applications
دانشگاه Center for Energy and Sustainable Development (CESD) – Montpellier Business School – France
منتشر شده در نشریه الزویر
کلمات کلیدی شاخص بخش فرضیه بازار کارآمد، تجزیه چند فاکتوریل، بحران مالی جهانی
Description
1. Introduction This study adds to the menu of studies investigating the financial market efficiency, by applying a multifractal detrended fluctuation analysis (MF-DFA) to the Dow Jones sector Exchange-Traded Fund (ETF) indices. The advantages of this approach consist in taking into consideration a global detection of multifractal behaviour for measuring the long-range dependence in ETF prices. Indices investment such ETF, became popular with the emergence of the efficient market hypothesis (EMH) and supposes that stock picking has no merit in terms of returns. Nevertheless, several questions remained without answer. Is the ETF market realy efficient? Are there any differences between the sector ETF indices in terms of efficiency? How the efficiency of ETF market is affected by crisis events? Although during the 1950s, the common belief was that financial markets are inefficient, the concept of EMH was formulated in the 1960s by Fama [1,2] and refined in the 1970s [3]. The weak form of EMH, which assumes that stock prices already reflect all past publicly available information, claims that the current stock price is the best predictor of future price.1 The semi-strong form of EMH claims, in addition, that prices instantly reflect all new publicly available information. The evidence in favour of this hypothesis is largely brought by Firth [5]. Further, the strong form of EMH considers the hidden information included in the market prices. Practically, in an efficient market, under the joint assumptions of risk neutrality and rationality, the expected returns of speculators are zero.
