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On sectoral market efficiency

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VILLENA Marcelo J. ARANEDA Axel A.

Rok publikování 2024
Druh Článek v odborném periodiku
Časopis / Zdroj Finance Research Letters
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
www https://doi.org/10.1016/j.frl.2023.104949
Doi http://dx.doi.org/10.1016/j.frl.2023.104949
Klíčová slova Efficient market hypothesis; Economic sectors; Financial risk; Multifractional Brownian motion
Popis A multi-fractional Brownian approach is used to measure the level of sectoral market efficiency through the Hurst exponent, using S&P 500 and sectoral indices data between 2002 and 2022. Our results show that each sector has a particular level of market efficiency, and it cannot be statistically represented by the aggregate market efficiency. However, there are long and short-term relationships between the efficiency of each sector and the level of market efficiency, which tend to vary from one sector to another. Besides, during periods of crisis, market efficiency by sector decreases sharply, and the cross-correlation of efficiency between sectors tends to increase. On the other hand, during the bull periods, the market efficiency could be considered a good hypothesis for the different sectors.

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