Measuring capital market efficiency: Global and local correlations structure |
| |
Authors: | Ladislav Kristoufek Miloslav Vosvrda |
| |
Institution: | Institute of Economic Studies, Charles University, Opletalova 26, 110 00, Prague, Czech Republic; Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Pod Vodarenskou Vezi 4, Prague 8, 182 08, Czech Republic |
| |
Abstract: | We introduce a new measure for capital market efficiency. The measure takes into consideration 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. |
| |
Keywords: | Capital market efficiency Long-range dependence Short-range dependence Fractal dimension |
本文献已被 ScienceDirect 等数据库收录! |
|