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

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Abstract

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).

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Authors and Affiliations

  1. Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Pod Vodarenskou Vezi 4, 18208, Prague, Czech Republic

    Ladislav Kristoufek & Miloslav Vosvrda

  2. Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Opletalova 26, 11000, Prague, Czech Republic

    Ladislav Kristoufek & Miloslav Vosvrda

Authors
  1. Ladislav Kristoufek
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  2. Miloslav Vosvrda
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Correspondence to Ladislav Kristoufek.

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Kristoufek, L., Vosvrda, M. Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy. Eur. Phys. J. B 87, 162 (2014). https://doi.org/10.1140/epjb/e2014-50113-6

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  • DOI: https://doi.org/10.1140/epjb/e2014-50113-6

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