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Measuring capital market efficiency: Global and local correlations structure

SYSNO ASEP	0381818
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Článek ve WOS
Title	Measuring capital market efficiency: Global and local correlations structure
Author(s)	Krištoufek, Ladislav (UTIA-B)_{RID, ORCID} Vošvrda, Miloslav (UTIA-B)_RID
Number of authors	2
Source Title	Physica. A : Statistical Mechanics and its Applications. - : Elsevier - ISSN 0378-4371 Roč. 392, č. 1 (2013), s. 184-193
Number of pages	10 s.
Language	eng - English
Country	NL - Netherlands
Keywords	Capital market efficiency ; Fractal dimension ; Long-range dependence ; Short-range dependence
Subject RIV	AH - Economics
R&D Projects	GBP402/12/G097 GA ČR - Czech Science Foundation (CSF)
Institutional support	UTIA-B - RVO:67985556
UT WOS	000311003500019
DOI	10.1016/j.physa.2012.08.003
Annotation	We 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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2013

Number of the records: 1