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Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F14%3A00431151" target="_blank" >RIV/67985556:_____/14:00431151 - isvavai.cz</a>

  • Alternative codes found

    RIV/00216208:11230/14:10281479

  • Result on the web

    <a href="http://dx.doi.org/10.1140/epjb/e2014-50113-6" target="_blank" >http://dx.doi.org/10.1140/epjb/e2014-50113-6</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1140/epjb/e2014-50113-6" target="_blank" >10.1140/epjb/e2014-50113-6</a>

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 [L. Kristoufek, M. Vosvrda, Physica A 392, 184 (2013)]. 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

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>

  • Continuities

    I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2014

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    European Physical Journal B

  • ISSN

    1434-6028

  • e-ISSN

  • Volume of the periodical

    87

  • Issue of the periodical within the volume

    7

  • Country of publishing house

    GB - UNITED KINGDOM

  • Number of pages

    9

  • Pages from-to

    "162-1"-"162-9"

  • UT code for WoS article

    000339877500001

  • EID of the result in the Scopus database