A new measure for market efficiency and its application

Jinjin Jiang and Haiqi Li

Finance Research Letters, 2020, vol. 34, issue C

Abstract: This paper develops a new market efficiency measure to analyze the market efficiency dynamics over quantile levels. Moreover, the efficiency for the Chinese, Japanese, and U.S. stock markets is investigated using the newly proposed approach. Results reveal that Japanese and U.S. stock markets are efficient in the normal rather than the bull or bear market conditions, and Chinese stock market is inefficient over the entire quantile levels. In particular, the U.S. stock markets display smaller deviation from the efficiency for most periods.

Keywords: Adaptive market hypothesis; Quantile autoregressive model; Behavioral finance (search for similar items in EconPapers)
JEL-codes: C21 G14 G40 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:34:y:2020:i:c:s154461231930323x

DOI: 10.1016/j.frl.2019.07.008

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