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

0395886 - ÚTIA 2014 RIV CZ eng C - Conference Paper (international conference)
Krištoufek, Ladislav - Vošvrda, Miloslav
Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy.
Proceedings of the 31st International Conference Mathematical Methods in Economics 2013. Jihlava: College of Polytechnics Jihlava, 2013 - (Vojáčková, H.), s. 470-475. ISBN 978-80-87035-76-4.
[MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./. Jihlava (CZ), 11.09.2013-13.09.2013]
R&D Projects: GA ČR GA402/09/0965
Grant - others:MŠk(CZ) SVV265504
Institutional support: RVO:67985556
Keywords : capital market efficiency * long-range dependence * fractal dimension * approximate entropy
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2013/E/kristoufek-measuring capital market efficienci long-term memory fractal dimension and approximate entropy.pdf

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).
Permanent Link: http://hdl.handle.net/11104/0223789