Measuring the degree of time varying market inefficiency

被引：81

作者：

Ito, Mikio ^{[1
]}

Sugiyama, Shunsuke ^{[2
]}

机构：

[1] Keio Univ, Fac Econ, Minato Ku, Tokyo 1088345, Japan

[2] Keio Univ, Grad Sch Econ, Minato Ku, Tokyo 1088345, Japan

来源：

ECONOMICS LETTERS | 2009年 / 103卷 / 01期

关键词：

Efficient market hypothesis; Degree of market inefficiency; State space model; Kalman smoothing;

D O I：

10.1016/j.econlet.2009.01.028

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We estimate a time varying autocorrelation of stock returns as a degree of market inefficiency; the relative inefficiency of the U.S. stock market varies from 1955 to 2006. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：62 / 64

页数：3

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