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

Regular Article

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).

Keywords

Statistical and Nonlinear Physics 

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Copyright information

© EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg 2014

Authors and Affiliations

  1. 1.Institute of Information Theory and Automation, Academy of Sciences of the Czech RepublicPragueCzech Republic
  2. 2.Institute of Economic Studies, Faculty of Social Sciences, Charles University in PraguePragueCzech Republic

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