Arbeitspapier
A relative efficiency measure based on stock market index data
This article introduces a new measure of stock market efficiency. The measure specifies how much a stock market index deviates from Brownian motion and is computed from frequency representations of isoquantile shapes estimated from lagged index returns. We describe the theory behind the approach, discuss parameter choices and apply the novel measure on chosen indices.
- Sprache
-
Englisch
- Erschienen in
-
Series: IES Working Paper ; No. 13/2012
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
isoquantile
Efficient Market Hypothesis
stock market index
efficiency measure
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ivanková, Kristýna
- Ereignis
-
Veröffentlichung
- (wer)
-
Charles University in Prague, Institute of Economic Studies (IES)
- (wo)
-
Prague
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ivanková, Kristýna
- Charles University in Prague, Institute of Economic Studies (IES)
Entstanden
- 2012
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