Original title: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy
Authors: Krištoufek, Ladislav ; Vošvrda, Miloslav
Document type: Papers
Conference/Event: MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./, Jihlava (CZ), 2013-09-11 / 2013-09-13
Year: 2013
Language: eng
Abstract: 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).
Keywords: approximate entropy; capital market efficiency; fractal dimension; long-range dependence
Project no.: SVV265504, GA402/09/0965 (CEP)
Funding provider: MŠk, GA ČR
Host item entry: Proceedings of the 31st International Conference Mathematical Methods in Economics 2013, ISBN 978-80-87035-76-4

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2013/E/kristoufek-measuring capital market efficienci long-term memory fractal dimension and approximate entropy.pdf
Original record: http://hdl.handle.net/11104/0223789

Permalink: http://www.nusl.cz/ntk/nusl-156464


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