Measuring the degree of time varying market inefficiency

Mikio Ito and Shunsuke Sugiyama

Economics Letters, 2009, vol. 103, issue 1, 62-64

Abstract: We estimate a time varying autocorrelation of stock returns as a degree of market inefficiency; the relative inefficiency of the U.S. stock market varies from 1955 to 2006.

Keywords: Efficient; market; hypothesis; Degree; of; market; inefficiency; State; space; model; Kalman; smoothing (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (65)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:103:y:2009:i:1:p:62-64

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