Název:
Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
Autoři:
Krištoufek, Ladislav ; Vošvrda, Miloslav Typ dokumentu: Příspěvky z konference Konference/Akce: MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./, Jihlava (CZ), 2013-09-11 / 2013-09-13
Rok:
2013
Jazyk:
eng
Abstrakt: We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Krištoufek&Vošvrda (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).
Klíčová slova:
approximate entropy; capital market efficiency; fractal dimension; long-range dependence Číslo projektu: SVV265504, GA402/09/0965 (CEP) Poskytovatel projektu: MŠk, GA ČR Zdrojový dokument: Proceedings of the 31st International Conference Mathematical Methods in Economics 2013, ISBN 978-80-87035-76-4