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.
- Language
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Englisch
- Bibliographic citation
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Series: IES Working Paper ; No. 13/2012
- Classification
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Wirtschaft
Semiparametric and Nonparametric Methods: General
Information and Market Efficiency; Event Studies; Insider Trading
- Subject
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isoquantile
Efficient Market Hypothesis
stock market index
efficiency measure
- Event
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Geistige Schöpfung
- (who)
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Ivanková, Kristýna
- Event
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Veröffentlichung
- (who)
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Charles University in Prague, Institute of Economic Studies (IES)
- (where)
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Prague
- (when)
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2012
- Handle
- Last update
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10.03.2025, 11:46 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Ivanková, Kristýna
- Charles University in Prague, Institute of Economic Studies (IES)
Time of origin
- 2012
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