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
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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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
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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
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