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@article{2356997,
author = {Villena, Marcelo J. and Araneda, Axel A.},
article_location = {SAN DIEGO},
article_number = {March},
doi = {http://dx.doi.org/10.1016/j.frl.2023.104949},
keywords = {Efficient market hypothesis; Economic sectors; Financial risk; Multifractional Brownian motion},
language = {eng},
issn = {1544-6123},
journal = {Finance Research Letters},
title = {On sectoral market efficiency},
url = {https://doi.org/10.1016/j.frl.2023.104949},
volume = {61},
year = {2024}
}
TY - JOUR
ID - 2356997
AU - Villena, Marcelo J. - Araneda, Axel A.
PY - 2024
TI - On sectoral market efficiency
JF - Finance Research Letters
VL - 61
IS - March
SP - 1-9
EP - 1-9
PB - ACADEMIC PRESS INC ELSEVIER SCIENCE
SN - 15446123
KW - Efficient market hypothesis
KW - Economic sectors
KW - Financial risk
KW - Multifractional Brownian motion
UR - https://doi.org/10.1016/j.frl.2023.104949
N2 - A multi-fractional Brownian approach is used to measure the level of sectoral market efficiency through the Hurst exponent, using S&P 500 and sectoral indices data between 2002 and 2022. Our results show that each sector has a particular level of market efficiency, and it cannot be statistically represented by the aggregate market efficiency. However, there are long and short-term relationships between the efficiency of each sector and the level of market efficiency, which tend to vary from one sector to another. Besides, during periods of crisis, market efficiency by sector decreases sharply, and the cross-correlation of efficiency between sectors tends to increase. On the other hand, during the bull periods, the market efficiency could be considered a good hypothesis for the different sectors.
ER -
VILLENA, Marcelo J. a Axel A. ARANEDA. On sectoral market efficiency. \textit{Finance Research Letters}. SAN DIEGO: ACADEMIC PRESS INC ELSEVIER SCIENCE, 2024, roč.~61, March, s.~1-9. ISSN~1544-6123. Dostupné z: https://dx.doi.org/10.1016/j.frl.2023.104949.
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