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A procedure for testing the hypothesis of weak efficiency in financial markets: a Monte Carlo simulation
dc.contributor.author | Roldán Casas, José Ángel | |
dc.contributor.author | García-Moreno García, María de los Baños | |
dc.date.accessioned | 2022-05-11T12:45:28Z | |
dc.date.available | 2022-05-11T12:45:28Z | |
dc.date.issued | 2022 | |
dc.identifier.uri | http://hdl.handle.net/10396/22894 | |
dc.description.abstract | The weak form of the efficient market hypothesis is identified with the conditions established by different types of random walks (1–3) on the returns associated with the prices of a financial asset. The methods traditionally applied for testing weak efficiency in a financial market as stated by the random walk model test only some necessary, but not sufficient, condition of this model. Thus, a procedure is proposed to detect if a return series associated with a given price index follows a random walk and, if so, what type it is. The procedure combines methods that test only a necessary, but not sufficient, condition for the fulfilment of the random walk hypothesis and methods that directly test a particular type of random walk. The proposed procedure is evaluated by means of a Monte Carlo experiment, and the results show that this procedure performs better (more powerful) against linear correlation-only alternatives when starting from the Ljung–Box test. On the other hand, against the random walk type 3 alternative, the procedure is more powerful when it is initiated from the BDS test. | es_ES |
dc.format.mimetype | application/pdf | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Springer | es_ES |
dc.rights | https://creativecommons.org/licenses/by/4.0/ | es_ES |
dc.source | Statistical Methods & Applications (2022) | es_ES |
dc.subject | Efficiency | es_ES |
dc.subject | Financial markets | es_ES |
dc.subject | Random walk | es_ES |
dc.subject | Sequential testing strategy | es_ES |
dc.subject | Monte Carlo experiment | es_ES |
dc.title | A procedure for testing the hypothesis of weak efficiency in financial markets: a Monte Carlo simulation | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.relation.publisherversion | https://doi.org/10.1007/s10260-022-00627-4 | es_ES |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | es_ES |