The inconsistency of market efficient hypothesis in financial systems: the appearance of volatility clustering
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Título
The inconsistency of market efficient hypothesis in financial systems: the appearance of volatility clusteringAutoría
Tutor/Supervisor; Universidad.Departamento
Tedeschi, Gabriele; Universitat Jaume I. Departament d'EconomiaFecha de publicación
2017Editor
Universitat Jaume IResumen
The aim of this work is to present a set of stylized facts emerging in financial markets.
It is important to remember that stylized facts are common properties across a wide
range of time periods and markets. If one ... [+]
The aim of this work is to present a set of stylized facts emerging in financial markets.
It is important to remember that stylized facts are common properties across a wide
range of time periods and markets. If one accepts that empirical data exists,
independently observed across many instruments, market and time periods, then one
can build a model able to understand them and, perhaps, to identify some common
properties present in different market structures. To this end, this paper analyzes the
statistical properties of three among the more important banking indexes, running from
1994 to 2016. These indexes represent not only different geographical area but also
several periods of boom burst affecting the investigate time periods. The results
suggest that the well-known stylized factors presented by Cont (2001) are still actual
over country and periods. This result, once more, weakens the theory of efficient
market and opens the way to new approaches. [-]
Palabras clave / Materias
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Aparece en las colecciones
- Grau en Economia [289]