Kristoufek, L. & Vosvrda, M.: Measuring capital market efficiency: Long- term memory, fractal dimension and approximate entropy
| Author(s): | prof. PhDr. Ladislav Krištoufek Ph.D., prof. Ing. Miloslav Vošvrda CSc., |
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| Type: | Others |
| Year: | 2014 |
| Number: | 0 |
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| Published in: | FinMaP Working Papers 18 PDF |
| Publishing place: | Kiel University |
| Keywords: | capital market efficiency, long-term memory, fractal dimension, approximate entropy |
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| Abstract: | We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvroda (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). |
