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| Description
| - The weak form of the efficient markets hypothesis states that prices incorporate only past information about the asset. An implication of this form of the efficient markets hypothesis is that one cannot detect mispriced assets and consistently outperform the market through technical analysis of past prices. One of possible formulations of the efficient market hypothesis used for weak form tests is that share prices follow a random walk. It means that returns are realizations of IID sequence of random variables. Consequently, for verifying the weak form of the efficient market hypothesis, we can use distribution tests, among others, i.e. some tests of normality and/or some graphical methods. Many procedures for testing the normality of univariate samples have been proposed in the literature [7]. Today the most popular omnibus test of normality for a general use is the Shapiro-Wilk test. The Jarque-Bera test is the most widely adopted omnibus test of normality in econometrics and related fields. In particular, the Jarque-Bera test (i.e. test based on the classical measures of skewness and kurtosis) is frequently used when one is more concerned about heavy-tailed alternatives. As these measures are based on moments of the data, this test has a zero breakdown value [2]. In other words, a single outlier can make the test worthless. The reason so many classical procedures are nonrobust to outliers is that the parameters of the model are expressed in terms of moments, and their classical estimators are expressed in terms of sample moments, which are very sensitive to outliers. Another approach to robustness is to concentrate on the parameters of interest suggested by the problem under this study. Consequently, novel robust testing procedures of testing normality are presented in this paper to overcome shortcomings of classical normality tests in the field of financial data, which are typical with occurrence of remote data points and additional types of deviations from norm
- The weak form of the efficient markets hypothesis states that prices incorporate only past information about the asset. An implication of this form of the efficient markets hypothesis is that one cannot detect mispriced assets and consistently outperform the market through technical analysis of past prices. One of possible formulations of the efficient market hypothesis used for weak form tests is that share prices follow a random walk. It means that returns are realizations of IID sequence of random variables. Consequently, for verifying the weak form of the efficient market hypothesis, we can use distribution tests, among others, i.e. some tests of normality and/or some graphical methods. Many procedures for testing the normality of univariate samples have been proposed in the literature [7]. Today the most popular omnibus test of normality for a general use is the Shapiro-Wilk test. The Jarque-Bera test is the most widely adopted omnibus test of normality in econometrics and related fields. In particular, the Jarque-Bera test (i.e. test based on the classical measures of skewness and kurtosis) is frequently used when one is more concerned about heavy-tailed alternatives. As these measures are based on moments of the data, this test has a zero breakdown value [2]. In other words, a single outlier can make the test worthless. The reason so many classical procedures are nonrobust to outliers is that the parameters of the model are expressed in terms of moments, and their classical estimators are expressed in terms of sample moments, which are very sensitive to outliers. Another approach to robustness is to concentrate on the parameters of interest suggested by the problem under this study. Consequently, novel robust testing procedures of testing normality are presented in this paper to overcome shortcomings of classical normality tests in the field of financial data, which are typical with occurrence of remote data points and additional types of deviations from norm (en)
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| Title
| - Robust Approach to Verifying the Weak Form of the Efficient Market Hypothesis
- Robust Approach to Verifying the Weak Form of the Efficient Market Hypothesis (en)
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| skos:prefLabel
| - Robust Approach to Verifying the Weak Form of the Efficient Market Hypothesis
- Robust Approach to Verifying the Weak Form of the Efficient Market Hypothesis (en)
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| skos:notation
| - RIV/62156489:43110/11:00175519!RIV13-MSM-43110___
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| http://linked.open...avai/riv/aktivita
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| http://linked.open...avai/riv/aktivity
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| http://linked.open...vai/riv/dodaniDat
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| http://linked.open...aciTvurceVysledku
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| http://linked.open.../riv/druhVysledku
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| http://linked.open...iv/duvernostUdaju
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| http://linked.open...titaPredkladatele
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| http://linked.open...dnocenehoVysledku
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| http://linked.open...ai/riv/idVysledku
| - RIV/62156489:43110/11:00175519
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| http://linked.open...riv/jazykVysledku
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| http://linked.open.../riv/klicovaSlova
| - power comparison; testing for normality; efficient market hypothesis; stock markets; robust measures; Monte Carlo simulation (en)
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| http://linked.open.../riv/klicoveSlovo
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| http://linked.open...ontrolniKodProRIV
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| http://linked.open...v/mistoKonaniAkce
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| http://linked.open...i/riv/mistoVydani
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| http://linked.open...i/riv/nazevZdroje
| - NUMERICAL ANALYSIS AND APPLIED MATHEMATICS ICNAAM 2011: International Conference on Numerical Analysis and Applied Mathematics, AIP Conference Proceedings
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| http://linked.open...in/vavai/riv/obor
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| http://linked.open...ichTvurcuVysledku
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| http://linked.open...cetTvurcuVysledku
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| http://linked.open...UplatneniVysledku
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| http://linked.open...iv/tvurceVysledku
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| http://linked.open...vavai/riv/typAkce
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| http://linked.open...ain/vavai/riv/wos
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| http://linked.open.../riv/zahajeniAkce
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| number of pages
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| http://bibframe.org/vocab/doi
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| http://purl.org/ne...btex#hasPublisher
| - American Institute of Physics
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| https://schema.org/isbn
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| http://localhost/t...ganizacniJednotka
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