The inconsistency of market efficient hypothesis in financial systems: the appearance of volatility clustering
Metadata
Show full item recordcomunitat-uji-handle:10234/158176
comunitat-uji-handle2:10234/71324
comunitat-uji-handle3:10234/111700
comunitat-uji-handle4:
TFG-TFMThis resource is restricted
Metadata
Title
The inconsistency of market efficient hypothesis in financial systems: the appearance of volatility clusteringAuthor (s)
Tutor/Supervisor; University.Department
Tedeschi, Gabriele; Universitat Jaume I. Departament d'EconomiaDate
2017Publisher
Universitat Jaume IAbstract
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. [-]
Subject
Type
info:eu-repo/semantics/bachelorThesisRights
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/restrictedAccess
info:eu-repo/semantics/restrictedAccess
This item appears in the folowing collection(s)
- Grau en Economia [292]