Assessing BRIC Countries’ Stock Market Efficiency with the
Detrended Fluctuation Analysis

D 2015

Assessing BRIC Countries’ Stock Market Efficiency with the Detrended Fluctuation Analysis

MUKHACHEVA, Galina a Oleg DEEV

Základní údaje

Originální název

Assessing BRIC Countries’ Stock Market Efficiency with the Detrended Fluctuation Analysis

Autoři

MUKHACHEVA, Galina (643 Rusko, garant, domácí) a Oleg DEEV (643 Rusko, domácí)

Vydání

Tallinn, 7th International Conference Economic Challanges in Enlarged Europe, od s. 1-11, 11 s. 2015

Nakladatel

Tallinn University of Technology

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50600 5.6 Political science

Stát vydavatele

Estonsko

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

paměťový nosič (CD, DVD, flash disk)

Kód RIV

RIV/00216224:14560/15:00084502

Organizační jednotka

Ekonomicko-správní fakulta

ISSN

Klíčová slova anglicky

stock market effectivity; detrended fluctuation analysis; emerging markets; BRIC

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 25. 11. 2015 20:38, Ing. Galina Deeva

Anotace

V originále

Efficient market hypothesis is a core assumption of financial economics upon which the majority of asset pricing models is built. According to the EMH, the returns within time series present uncorrelated values and are not predictable on a historical basis. The detrended fluctuation analysis is implemented to check the possible correlations in stock returns. Our investigation examines the level of market efficiency of four emerging economies: Brazil, Russia, India and China, known as BRIC countries, for which contradicting evidence exists. Our results have certain implications for the credibility of the efficient market hypothesis and its alternative - adoptive market hypothesis by identifying time-varying market efficiency. The relative increase in efficiency is revealed for Russia, India and China. This paper contributes to the existing literature in two ways. First, it studies the market efficiency in BRIC countries by utilizing non-traditional methodology - detrended fluctuation analysis. Second, it includes sever recent turbulence in the stock market, such as the current subprime financial crisis or Chinese stock bubble.

Návaznosti

MUNI/A/1127/2014, interní kód MU

Název: Analýza, tvorba a testování modelů oceňování finančních, zajišťovacích a investičních aktiv a jejich využití k predikci vzniku finančních krizí

Investor: Masarykova univerzita, Analýza, tvorba a testování modelů oceňování finančních, zajišťovacích a investičních aktiv a jejich využití k predikci vzniku finančních krizí, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

MUKHACHEVA, Galina a Oleg DEEV. Assessing BRIC Countries’ Stock Market Efficiency with the Detrended Fluctuation Analysis. In 7th International Conference Economic Challanges in Enlarged Europe. Tallinn: Tallinn University of Technology, 2015, s. 1-11. ISSN 2382-6797.

@inproceedings{1315745,
   author = {Mukhacheva, Galina and Deev, Oleg},
   address = {Tallinn},
   booktitle = {7th International Conference Economic Challanges in Enlarged Europe},
   keywords = {stock market effectivity; detrended fluctuation analysis; emerging markets; BRIC},
   howpublished = {paměťový nosič},
   language = {eng},
   location = {Tallinn},
   pages = {1-11},
   publisher = {Tallinn University of Technology},
   title = {Assessing BRIC Countries’ Stock Market Efficiency with the Detrended Fluctuation Analysis},
   year = {2015}
}

TY  - JOUR
ID  - 1315745
AU  - Mukhacheva, Galina - Deev, Oleg
PY  - 2015
TI  - Assessing BRIC Countries’ Stock Market Efficiency with the Detrended Fluctuation Analysis
PB  - Tallinn University of Technology
CY  - Tallinn
KW  - stock market effectivity
KW  - detrended fluctuation analysis
KW  - emerging markets
KW  - BRIC
N2  - Efficient market hypothesis is a core assumption of financial economics upon which the majority of asset pricing models is built. According to the EMH, the returns within time series present uncorrelated values and are not predictable on a historical basis. The detrended fluctuation analysis is implemented to check the possible correlations in stock returns. Our investigation examines the level of market efficiency of four emerging economies: Brazil, Russia, India and China, known as BRIC countries, for which contradicting evidence exists. Our results have certain implications for the credibility of the efficient market hypothesis and its alternative - adoptive market hypothesis by identifying time-varying market efficiency. The relative increase in efficiency is revealed for Russia, India and China. This paper contributes to the existing literature in two ways. First, it studies the market efficiency in BRIC countries by utilizing non-traditional methodology - detrended fluctuation analysis. Second, it includes sever recent turbulence in the stock market, such as the current subprime financial crisis or Chinese stock bubble.
ER  -

MUKHACHEVA, Galina a Oleg DEEV. Assessing BRIC Countries’ Stock Market Efficiency with the Detrended Fluctuation Analysis. In \textit{7th International Conference Economic Challanges in Enlarged Europe}. Tallinn: Tallinn University of Technology, 2015, s.~1-11. ISSN~2382-6797.

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