How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis

Detalhes bibliográficos
Autor(a) principal: Reboredo, Juan C.
Data de Publicação: 2013
Outros Autores: Castro, Miguel A. Rivera, Miranda, José Garcia Vivas, Rubio, Raquel García
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UFBA
Texto Completo: http://repositorio.ufba.br/ri/handle/ri/16825
Resumo: Texto completo: acesso restrito. p. 1631–1637
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spelling Reboredo, Juan C.Castro, Miguel A. RiveraMiranda, José Garcia VivasRubio, Raquel GarcíaReboredo, Juan C.Castro, Miguel A. RiveraMiranda, José Garcia VivasRubio, Raquel García2014-12-17T21:44:07Z20130378-4371http://repositorio.ufba.br/ri/handle/ri/16825v. 392, n. 7Texto completo: acesso restrito. p. 1631–1637In this paper we analyse price fluctuations with the aim of measuring how long the market takes to adjust prices to weak-form efficiency, i.e., how long it takes for prices to adjust to a fractional Brownian motion with a Hurst exponent of 0.5. The Hurst exponent is estimated for different time horizons using detrended fluctuation analysis–a method suitable for non-stationary series with trends–in order to identify at which time scale the Hurst exponent is consistent with the efficient market hypothesis. Using high-frequency share price, exchange rate and stock data, we show how price dynamics exhibited important deviations from efficiency for time periods of up to 15 min; thereafter, price dynamics was consistent with a geometric Brownian motion. The intraday behaviour of the series also indicated that price dynamics at trade opening and close was hardly consistent with efficiency, which would enable investors to exploit price deviations from fundamental values. This result is consistent with intraday volume, volatility and transaction time duration patterns.Submitted by Edileide Reis (leyde-landy@hotmail.com) on 2014-12-16T12:36:19Z No. of bitstreams: 1 Juan C. Reboredo.pdf: 948339 bytes, checksum: afad997349bcb38d2469b8ae21967387 (MD5)Approved for entry into archive by Alda Lima da Silva (sivalda@ufba.br) on 2014-12-17T21:44:07Z (GMT) No. of bitstreams: 1 Juan C. Reboredo.pdf: 948339 bytes, checksum: afad997349bcb38d2469b8ae21967387 (MD5)Made available in DSpace on 2014-12-17T21:44:07Z (GMT). No. of bitstreams: 1 Juan C. Reboredo.pdf: 948339 bytes, checksum: afad997349bcb38d2469b8ae21967387 (MD5) Previous issue date: 2013http://dx.doi.org/10.1016/j.physa.2012.11.038reponame:Repositório Institucional da UFBAinstname:Universidade Federal da Bahia (UFBA)instacron:UFBAFinanceMarket efficiencySpeed of adjustmentDetrended fluctuation analysisHow fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysisPhysica A: Statistical Mechanics and its Applicationsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article10000-01-01info:eu-repo/semantics/openAccessengORIGINALJuan C. Reboredo.pdfJuan C. 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dc.title.pt_BR.fl_str_mv How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis
dc.title.alternative.pt_BR.fl_str_mv Physica A: Statistical Mechanics and its Applications
title How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis
spellingShingle How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis
Reboredo, Juan C.
Finance
Market efficiency
Speed of adjustment
Detrended fluctuation analysis
title_short How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis
title_full How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis
title_fullStr How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis
title_full_unstemmed How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis
title_sort How fast do stock prices adjust to market efficiency? Evidence from a detrended fluctuation analysis
author Reboredo, Juan C.
author_facet Reboredo, Juan C.
Castro, Miguel A. Rivera
Miranda, José Garcia Vivas
Rubio, Raquel García
author_role author
author2 Castro, Miguel A. Rivera
Miranda, José Garcia Vivas
Rubio, Raquel García
author2_role author
author
author
dc.contributor.author.fl_str_mv Reboredo, Juan C.
Castro, Miguel A. Rivera
Miranda, José Garcia Vivas
Rubio, Raquel García
Reboredo, Juan C.
Castro, Miguel A. Rivera
Miranda, José Garcia Vivas
Rubio, Raquel García
dc.subject.por.fl_str_mv Finance
Market efficiency
Speed of adjustment
Detrended fluctuation analysis
topic Finance
Market efficiency
Speed of adjustment
Detrended fluctuation analysis
description Texto completo: acesso restrito. p. 1631–1637
publishDate 2013
dc.date.issued.fl_str_mv 2013
dc.date.accessioned.fl_str_mv 2014-12-17T21:44:07Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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status_str publishedVersion
dc.identifier.uri.fl_str_mv http://repositorio.ufba.br/ri/handle/ri/16825
dc.identifier.issn.none.fl_str_mv 0378-4371
dc.identifier.number.pt_BR.fl_str_mv v. 392, n. 7
identifier_str_mv 0378-4371
v. 392, n. 7
url http://repositorio.ufba.br/ri/handle/ri/16825
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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dc.source.pt_BR.fl_str_mv http://dx.doi.org/10.1016/j.physa.2012.11.038
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