The relative efficiency of stockmarkets

Ricardo Giglio (), Raul Matsushita () and Sergio Da Silva ()
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Ricardo Giglio: Department of Economics, Federal University of Santa Catarina, Brazil
Raul Matsushita: Department of Statistics, University of Brasilia, Brazil

Economics Bulletin, 2008, vol. 7, issue 6, pages 1-12

Abstract: Financial economists usually assess market efficiency in absolute terms. This is a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. This paper employs such an approach in order to rank 36 stock exchanges and 37 individual company stocks in terms of their relative efficiency.

Keywords: Lempel-Ziv complexity index; Efficient market hypothesis; Financial market efficiency; Algorithmic complexity theory; Stockmarkets (search for similar items in EconPapers)
JEL-codes: G1 C6 (search for similar items in EconPapers)
Date: 2008 Written 2008-04-21
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