Evolution of stock market efficiency in Europe: Evidence from measuring periods of inefficiency

J. Bock and S. Geissel

Finance Research Letters, 2024, vol. 62, issue PA

Abstract: This study introduces novel measures to quantify periods of market inefficiency, enabling precise analysis of their evolution over time and effective comparisons across markets or groups of markets. These measures are applied to an extensive dataset comprising stock indices from 25 European countries from 2007 to 2022. The empirical findings reveal a 20% increase in market inefficiency across Europe, primarily driven by heightened average inefficiencies in the stock markets of the group of developed European countries such as Germany and the Scandinavian countries.

Keywords: Efficient Market Hypothesis; Adaptive Market Hypothesis; AMIM; Periods of inefficiency; Average area of inefficiency; European stock markets (search for similar items in EconPapers)
JEL-codes: C58 D81 G10 G17 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612324001594
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001594

DOI: 10.1016/j.frl.2024.105129

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().