Kristoufek, L. & Vosvrda, M.: Capital markets efficiency: Fractal dimension, Hurst exponent and entropy
| Author(s): | prof. PhDr. Ladislav Krištoufek Ph.D., prof. Ing. Miloslav Vošvrda CSc., |
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| Type: | Articles in journals with impact factor |
| Year: | 2012 |
| Number: | 0 |
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| Published in: | Politicka ekonomie 16(2), pp.208-221 |
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| Keywords: | capital markets efficiency, fractal dimension, long-range dependence, entropy |
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| Grants: | 402/09/0965: New Approaches for monitoring and prediction of capital markets GAUK 5183/2010 (118310) Fractality and multi-fractality of financial markets: methods and applications |
| Abstract: | In this paper, we introduce a new measure of capital market efficiency. For its construction, we use the approaches of fractal dimension, Hurst exponent and entropy. The method is applied on 41 stock indices from the beginning of 2000 till the end of August 2011 and interesting results are found – the analyzed indices are not self-affine; for the majority of indices, the deviation from the efficient market is dominated by local inefficiencies; and the most efficient capital markets are the stock idices of the most developed countries (FTSE, SPX, NIKKEI and DAX). |
