Počet záznamů: 1  

Measuring capital market efficiency: Global and local correlations structure

  1. 1.
    SYSNO ASEP0381818
    Druh ASEPJ - Článek v odborném periodiku
    Zařazení RIVJ - Článek v odborném periodiku
    Poddruh JČlánek ve WOS
    NázevMeasuring capital market efficiency: Global and local correlations structure
    Tvůrce(i) Krištoufek, Ladislav (UTIA-B) RID
    Vošvrda, Miloslav (UTIA-B) RID
    Celkový počet autorů2
    Zdroj.dok.Physica. A : Statistical Mechanics and its Applications. - : Elsevier - ISSN 0378-4371
    Roč. 392, č. 1 (2013), s. 184-193
    Poč.str.10 s.
    Jazyk dok.eng - angličtina
    Země vyd.NL - Nizozemsko
    Klíč. slovaCapital market efficiency ; Fractal dimension ; Long-range dependence ; Short-range dependence
    Vědní obor RIVAH - Ekonomie
    CEPGBP402/12/G097 GA ČR - Grantová agentura ČR
    Institucionální podporaUTIA-B - RVO:67985556
    UT WOS000311003500019
    DOI10.1016/j.physa.2012.08.003
    AnotaceWe introduce a new measure for capital market efficiency. The measure takes into consid- eration the correlation structure of the returns (long-term and short-term memory) and local herding behavior (fractal dimension). The efficiency measure is taken as a distance from an ideal efficient market situation. The proposed methodology is applied to a portfolio of 41 stock indices. We find that the Japanese NIKKEI is the most efficient market. From a geographical point of view, the more efficient markets are dominated by the European stock indices and the less efficient markets cover mainly Latin America, Asia and Oceania. The inefficiency is mainly driven by a local herding, i.e. a low fractal dimension.
    PracovištěÚstav teorie informace a automatizace
    KontaktMarkéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
    Rok sběru2013