A Relative Efficiency Measure Based on Stock Market Index Data

Kristýna Ivanková

No 2012/13, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: This article introduces a new measure of stock market efficiency. The measure specifies how much a stock market index deviates from Brownian motion and is computed from frequency representations of isoquantile shapes estimated from lagged index returns. We describe the theory behind the approach, discuss parameter choices and apply the novel measure on chosen indices.

Keywords: isoquantile; Efficient Market Hypothesis; stock market index; efficiency measure (search for similar items in EconPapers)
JEL-codes: C14 G14 (search for similar items in EconPapers)
Pages: 9pages
Date: 2012-06, Revised 2012-06
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