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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/4574

Title: How Fama went wrong : measures of multivariate kurtosis for the identification of the dynamics of N-dimensional market
Authors: Araújo, Tanya
Dias, João
Eleutério, Samuel
Louçã, Francisco
Issue Date: 2012
Publisher: ISEG - Departamento de Economia
Citation: 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 21/2012/DE/UECE
Series/Report no.: DE working papers;nº 21/2012/DE/UECE
Abstract: 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.
URI: http://hdl.handle.net/10400.5/4574
ISSN: 0874-4548
Publisher version: https://aquila.iseg.utl.pt/aquila/getFile.do?method=getFile&fileId=280585&contentContextPath_PATH=/departamentos/ec/lateral/menu-working-papers/nova-serie/2012&_request_checksum_=f5c1c1e9b0b8cab06eabe5b719d97b694adc0612
Appears in Collections:UECE - Documentos de Trabalho / UECE - Working Papers
DE - Documentos de trabalho / Working Papers

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