Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
Result description
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Krištoufek&Vošvrda (2013), Physica A 392]. This way, we are able to comment on stock market efficiency after controlling for different types of inefficiencies. Applying the methodology on 38 stock market indices across the world, we find that the most efficient markets are situated in the Eurozone (the Netherlands, France and Germany) and the least efficient ones in the Latin America (Venezuela and Chile).
Keywords
capital market efficiencylong-range dependencefractal dimensionapproximate entropy
The result's identifiers
Result code in IS VaVaI
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
Original language description
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Krištoufek&Vošvrda (2013), Physica A 392]. This way, we are able to comment on stock market efficiency after controlling for different types of inefficiencies. Applying the methodology on 38 stock market indices across the world, we find that the most efficient markets are situated in the Eurozone (the Netherlands, France and Germany) and the least efficient ones in the Latin America (Venezuela and Chile).
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
GA402/09/0965: New Approaches to Monitoring and Forecasting Financial Markets
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 31st International Conference Mathematical Methods in Economics 2013
ISBN
978-80-87035-76-4
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
470-475
Publisher name
College of Polytechnics Jihlava
Place of publication
Jihlava
Event location
Jihlava
Event date
Sep 11, 2013
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
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Basic information
Result type
D - Article in proceedings
CEP
AH - Economics
Year of implementation
2013