Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy

被引：60

作者：

Kristoufek, Ladislav ^{[1
,2
]}

Vosvrda, Miloslav ^{[1
,2
]}

机构：

[1] Acad Sci Czech Republic, Inst Informat Theory & Automat, CR-18208 Prague, Czech Republic

[2] Charles Univ Prague, Fac Social Sci, Inst Econ Studies, Prague 11000, Czech Republic

来源：

EUROPEAN PHYSICAL JOURNAL B | 2014年 / 87卷 / 07期

关键词：

FINANCIAL TIME-SERIES; RANGE DEPENDENCE; HURST EXPONENT; EMERGING MARKETS; RANKING EFFICIENCY; EQUITY MARKETS; VOLATILITY; PRICES; MULTIFRACTALITY; ESTIMATORS;

D O I：

10.1140/epjb/e2014-50113-6

中图分类号：

O469 [凝聚态物理学];

学科分类号：

070205 ;

摘要：

We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [L. Kristoufek, M. Vosvrda, Physica A 392, 184 (2013)]. 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).

引用

页数：9

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