How Fama went wrong : measures of multivariate kurtosis for the identification of the dynamics of N-dimensional market

Detalhes bibliográficos
Autor(a) principal: Araújo, Tanya
Data de Publicação: 2012
Outros Autores: Dias, João, Eleutério, Samuel, Louçã, Francisco
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/4574
Resumo: This paper investigates the common intuition suggesting that during crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges the analysis of the nature of financial markets proposed by Fama and his associates. For this, a geometric approach is proposed in order to define the patterns of change of the market and a measure of multivariate kurtosis is used in order to test deviations from multinormality. The emergence of crises can be measured in this framework, using all the available information about the returns of the stocks under consideration and not only the index representing the market.
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spelling How Fama went wrong : measures of multivariate kurtosis for the identification of the dynamics of N-dimensional marketFinancial MarketsTheory of Acess PricesThis paper investigates the common intuition suggesting that during crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges the analysis of the nature of financial markets proposed by Fama and his associates. For this, a geometric approach is proposed in order to define the patterns of change of the market and a measure of multivariate kurtosis is used in order to test deviations from multinormality. The emergence of crises can be measured in this framework, using all the available information about the returns of the stocks under consideration and not only the index representing the market.UECE is supported by FCT, Portugal.ISEG - Departamento de EconomiaRepositório da Universidade de LisboaAraújo, TanyaDias, JoãoEleutério, SamuelLouçã, Francisco2012-07-24T15:59:32Z20122012-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/4574engAraújo, Tanya ... [et al.]. 2012. "How fama went wrong : measures of multivariate kurtosis for the identification of the dynamics of N-dimensional market". Instituto Superior de Economia e Gestão - DE Working paper nº 21-2012/DE/UECE0874-4548info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:35:33Zoai:www.repository.utl.pt:10400.5/4574Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:52:12.605733Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv How Fama went wrong : measures of multivariate kurtosis for the identification of the dynamics of N-dimensional market
title How Fama went wrong : measures of multivariate kurtosis for the identification of the dynamics of N-dimensional market
spellingShingle How Fama went wrong : measures of multivariate kurtosis for the identification of the dynamics of N-dimensional market
Araújo, Tanya
Financial Markets
Theory of Acess Prices
title_short How Fama went wrong : measures of multivariate kurtosis for the identification of the dynamics of N-dimensional market
title_full How Fama went wrong : measures of multivariate kurtosis for the identification of the dynamics of N-dimensional market
title_fullStr How Fama went wrong : measures of multivariate kurtosis for the identification of the dynamics of N-dimensional market
title_full_unstemmed How Fama went wrong : measures of multivariate kurtosis for the identification of the dynamics of N-dimensional market
title_sort How Fama went wrong : measures of multivariate kurtosis for the identification of the dynamics of N-dimensional market
author Araújo, Tanya
author_facet Araújo, Tanya
Dias, João
Eleutério, Samuel
Louçã, Francisco
author_role author
author2 Dias, João
Eleutério, Samuel
Louçã, Francisco
author2_role author
author
author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Araújo, Tanya
Dias, João
Eleutério, Samuel
Louçã, Francisco
dc.subject.por.fl_str_mv Financial Markets
Theory of Acess Prices
topic Financial Markets
Theory of Acess Prices
description This paper investigates the common intuition suggesting that during crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges the analysis of the nature of financial markets proposed by Fama and his associates. For this, a geometric approach is proposed in order to define the patterns of change of the market and a measure of multivariate kurtosis is used in order to test deviations from multinormality. The emergence of crises can be measured in this framework, using all the available information about the returns of the stocks under consideration and not only the index representing the market.
publishDate 2012
dc.date.none.fl_str_mv 2012-07-24T15:59:32Z
2012
2012-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/4574
url http://hdl.handle.net/10400.5/4574
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Araújo, Tanya ... [et al.]. 2012. "How fama went wrong : measures of multivariate kurtosis for the identification of the dynamics of N-dimensional market". Instituto Superior de Economia e Gestão - DE Working paper nº 21-2012/DE/UECE
0874-4548
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv ISEG - Departamento de Economia
publisher.none.fl_str_mv ISEG - Departamento de Economia
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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