The evolution of stock market efficiency over time: A survey of the empirical literature
This paper provides a systematic review of the weak‐form market efficiency literature that
examines return predictability from past price changes, with an exclusive focus on the stock …
examines return predictability from past price changes, with an exclusive focus on the stock …
Some stylized facts of the Bitcoin market
AF Bariviera, MJ Basgall, W Hasperué… - Physica A: Statistical …, 2017 - Elsevier
In recent years a new type of tradable assets appeared, generically known as
cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper …
cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper …
Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic
SY Choi - Physica A: Statistical Mechanics and Its Applications, 2021 - Elsevier
In this study, we test the efficient market hypothesis for a number of sectors in the US stock
market during the COVID-19 pandemic to identify its effects on individual sectors. To test this …
market during the COVID-19 pandemic to identify its effects on individual sectors. To test this …
Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?
G Gajardo, WD Kristjanpoller, M Minutolo - Chaos, Solitons & Fractals, 2018 - Elsevier
We applied MF-ADCCA to analyze the presence and asymmetry of the cross-correlations
between the major currency rates and Bitcoin, and the Dow Jones Industrial Average (DJIA) …
between the major currency rates and Bitcoin, and the Dow Jones Industrial Average (DJIA) …
The interactive relationship between the US economic policy uncertainty and BRIC stock markets
I Dakhlaoui, C Aloui - International Economics, 2016 - Elsevier
The purpose of this paper is to investigate the dynamics of volatility spillovers between the
US economic policy uncertainty and the BRIC equity markets. To do so, we perform the …
US economic policy uncertainty and the BRIC equity markets. To do so, we perform the …
A multifractal approach for stock market inefficiency
In this paper, the multifractality degree in a collection of developed and emerging stock
market indices is evaluated. Empirical results suggest that the multifractality degree can be …
market indices is evaluated. Empirical results suggest that the multifractality degree can be …
Measuring capital market efficiency: Global and local correlations structure
L Kristoufek, M Vosvrda - Physica A: statistical mechanics and its …, 2013 - Elsevier
We introduce a new measure for capital market efficiency. The measure takes into
consideration the correlation structure of the returns (long-term and short-term memory) and …
consideration the correlation structure of the returns (long-term and short-term memory) and …
Financial crisis and stock market efficiency: Empirical evidence from Asian countries
This paper empirically investigates the effects of the 1997 financial crisis on the efficiency of
eight Asian stock markets, applying the rolling bicorrelation test statistics for the three sub …
eight Asian stock markets, applying the rolling bicorrelation test statistics for the three sub …
Forbidden patterns, permutation entropy and stock market inefficiency
In this paper we introduce two new quantifiers for the stock market inefficiency: the number
of forbidden patterns and the normalized permutation entropy. They are model-independent …
of forbidden patterns and the normalized permutation entropy. They are model-independent …
Commodity futures and market efficiency
L Kristoufek, M Vosvrda - Energy Economics, 2014 - Elsevier
We analyze the market efficiency of 25 commodity futures across various groups—metals,
energies, soft commodities, grains and other agricultural commodities. To do so, we utilize …
energies, soft commodities, grains and other agricultural commodities. To do so, we utilize …