Work detail

Capital Market Hypotheses and Their Statistical Implications: A Comparative Study

Author: Bc. Petr Petras
Year: 2014 - summer
Leaders: prof. PhDr. Ladislav Krištoufek Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 55
Awards and prizes:
Link: https://is.cuni.cz/webapps/zzp/detail/137564/
Abstract: In this bachelor thesis we focus on different Market Hypotheses. Specifically on Efficient Market
Hypothesis, Fractal Market Hypothesis and Coherent Market Hypothesis. In the first part of the work we
provide description of researched hypotheses and methods used for testing. In the second part of the
work we run test on time series of share markets, gold markets and currency markets and test if our
hypotheses can provide explanation about price changes on those markets. For Efficient Market
Hypothesis we wonder if prices are following random walk (via augmented Dickey-Fuller test), if
residuals are normally distributed (via Shapiro-Wilk and Jarque-Bera tests) and if residuals are
uncorrelated (via Box-Pierce test). For Fractal Market Hypothesis we are trying to find value of Hurst
exponent via Rescaled Range analysis. This exponent describes if time series are persistent or not. And
for Coherent Market Hypothesis we develop simple method for testing if some time periods can yield
above-average revenues, thanks to increased mean and decreased standard deviation. After that we find
out what are consequences of short time series and different frequencies for obtaining data points and we
learn that some hypotheses describes different time periods or lengths better and are not so good for
different ones.
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