Arbeitspapier
Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (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).
- Sprache
-
Englisch
- Erschienen in
-
Series: FinMaP-Working Paper ; No. 18
- Klassifikation
-
Wirtschaft
- Thema
-
capital market efficiency
long-term memory
fractal dimension
approximate entropy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kristoufek, Ladislav
Vosvrda, Miloslav
- Ereignis
-
Veröffentlichung
- (wer)
-
Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
- (wo)
-
Kiel
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 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
- Kristoufek, Ladislav
- Vosvrda, Miloslav
- Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
Entstanden
- 2014
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