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Isobars and the Efficient Market Hypothesis

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Abstract

Isobar surfaces, a method for describing the overall shape of multidimensional data, are estimated by nonparametric regression and used to evaluate the efficiency of selected markets based on returns of their stock market indices.

Suggested Citation

  • Kristýna Ivanková, 2010. "Isobars and the Efficient Market Hypothesis," Working Papers IES 2010/21, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2010.
    • Handle: RePEc:fau:wpaper:wp2010_21
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    References listed on IDEAS

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    1. M. F. M. Osborne, 1959. "Brownian Motion in the Stock Market," Operations Research, INFORMS, vol. 7(2), pages 145-173, April.
    2. Barme-Delcroix, Marie-Francoise & Gather, Ursula, 2007. "Limit laws for multidimensional extremes," Statistics & Probability Letters, Elsevier, vol. 77(18), pages 1750-1755, December.
    3. Jacob, P. & Suquet, Ch., 1996. "Regression and edge estimation," Statistics & Probability Letters, Elsevier, vol. 27(1), pages 11-15, March.
    4. Jacob, P. & Suquet, Ch., 1997. "Regression and asymptotical location of a multivariate sample," Statistics & Probability Letters, Elsevier, vol. 35(2), pages 173-179, September.
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    More about this item

    Keywords

    Isobars; Efficient market hypothesis; Nonparametric regression; Extreme value theory;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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