Isobars and the Efficient Market Hypothesis

Kristýna Ivanková

No 2010/21, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

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.

Keywords: Isobars; Efficient market hypothesis; Nonparametric regression; Extreme value theory (search for similar items in EconPapers)
JEL-codes: C14 G14 (search for similar items in EconPapers)
Pages: 15pages
Date: 2010-09, Revised 2010-09
New Economics Papers: this item is included in nep-rmg
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