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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. and Axel A. ARANEDA. On sectoral market efficiency. \textit{Finance Research Letters}. SAN DIEGO: ACADEMIC PRESS INC ELSEVIER SCIENCE, 2024, vol.~61, March, p.~1-9. ISSN~1544-6123. Available from: https://dx.doi.org/10.1016/j.frl.2023.104949.
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