| bibtype |
J -
Journal Article
|
| ARLID |
0377209 |
| utime |
20240103200920.0 |
| mtime |
20120608235959.9 |
| WOS |
000305714400004 |
| title
(primary) (cze) |
Efektivita kapitálových trhů: Fraktální dimenze, Hurstův exponent a entropie |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0251661 |
| ISSN |
0032-3233 |
| title
|
Politická ekonomie |
| volume_id |
60 |
| volume |
2 (2012) |
| page_num |
208-221 |
| publisher |
| name |
Vysoká škola ekonomická v Praze |
|
|
| title
(eng) |
Capital Markets Efficiency: Fractal Dimension, Hurst Exponent and Entropy |
| keyword |
capital markets efficiency |
| keyword |
fractal dimension |
| keyword |
long-range dependence |
| keyword |
entropy |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101230 |
| name1 |
Vošvrda |
| name2 |
Miloslav |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| abstract
(cze) |
Je zavedena nová míra výkonnosti kapitálového trhu. Pro její konstrukci byly použity entropické a fraktálně-dimenzionální přístupy a Hurstův exponent. Tato metoda je aplikována na 41 tržních indexů, počínaje rokem 2000 a konče srpnem 2011. Tato nová míra výkonnosti kapitálového trhu velmi dobře rozlišuje méně rozvinuté kapitálové trhy od rozvinutých kapitálových trhů. |
| abstract
(eng) |
A new measure of capital market efficiency is introduced. For its construction, the approaches of fractal dimension, Hurst exponent, and entropy are used. The method is applied on 41 stock indices form the beginning of 2000 till the end of August 2011 and interesting results are found - the analyzed indices are not self-affine; for the majority of indices, the deviation from the efficient market is dominated by local inefficiencies; and the most efficient capital markets are the stock indices of the most developed countries (FTSE, SPX, NIKKEI, and DAX). |
| reportyear |
2013 |
| RIV |
AH |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0209434 |
| mrcbT16-e |
ECONOMICS|POLITICALSCIENCE |
| mrcbT16-j |
0.095 |
| mrcbT16-q |
8 |
| mrcbT16-s |
0.344 |
| mrcbT16-y |
28.61 |
| mrcbT16-x |
0.58 |
| mrcbT16-4 |
Q2 |
| mrcbT16-B |
5.164 |
| mrcbT16-C |
49.677 |
| mrcbT16-D |
Q4 |
| mrcbT16-E |
Q3 |
| arlyear |
2012 |
| mrcbU34 |
000305714400004 WOS |
| mrcbU63 |
cav_un_epca*0251661 Politická ekonomie 0032-3233 0032-3233 Roč. 60 č. 2 2012 208 221 Vysoká škola ekonomická v Praze |
|