0370121 20240103200133.520120110235959.9 6 s. cav_un_epca*0364870978-80-7431-058-4300-305PragueProffesional publishing2011 isoquantile Hurst exponent Efficient Market Hypothesis stock market index isobar cav_un_auth*0267448 Ivanková Kristýna Ekonometrie Department of Econometrics E E UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0256902 Krištoufek Ladislav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101230 Vošvrda Miloslav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2012/E/ivankova-evaluating the efficient market hypothesis by means of isoquantile surfaces and the hurst exponent.pdf GD402/09/H045 GA ČR cav_un_auth*0253998 118310 GA UK CZ cav_un_auth*0274537 CEZ:AV0Z10750506 This article extends our previous work on applications of isoquantile (formerly isobar) surfaces to market analysis. The approach is applied to lagged returns of selected stock market indices and compared to various estimations of the Hurst exponent. We evaluate the Efficient Market hypothesis by means of the two aforementioned approaches for the ASPI, BET, BUX, JSX, NASDAQ, PX and S&P500 indices. The more does a time series satisfy the EMH, the closer it resembles Brownian motion. In this case isoquantile surfaces form a circle and the Hurst exponent approaches 1/2. cav_un_auth*0277377 Mathematical Methods in Economics 2011 Jánska Dolina 06.09.2011-09.09.2011 SK 2012 AH 3 http://hdl.handle.net/11104/0204015 2011 cav_un_epca*0364870 Mathematical Methods in Economics 2011 978-80-7431-058-4 300 305 Prague Proffesional publishing 2011