The inconsistency of market efficient hypothesis in financial systems: the appearance of volatility clustering

Abstract

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.