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How Fama went wrong : measures of multivariate kurtosis for the identification of the dynamics of N-dimensional market
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Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Financial Markets Theory of Acess Prices
Contexto Educativo
Citação
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
Editora
ISEG - Departamento de Economia