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

Ladislav Krištoufek () and Miloslav Vošvrda

No 18, FinMaP-Working Papers from Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents

Abstract: We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (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).

Keywords: capital market efficiency; long-term memory; fractal dimension; approximate entropy (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (38)

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Journal Article: Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy (2014) Downloads
Working Paper: Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy (2014) Downloads
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