Exploring market efficiency levels: A powerful approach based on a gamma distribution

Abolfazl Askari and Ehsan Hajizadeh

Finance Research Letters, 2024, vol. 66, issue C

Abstract: We introduce a novel measure to assess market inefficiency levels and examine their evolution over time using robust statistical principles. Our innovative approach not only facilitates a comprehensive exploration of market efficiency and its economic impacts but also allows for effortless comparisons across various assets, timeframes, regions, and data frequencies. Our findings reveal that during significant economic events, such as financial crises, markets tend to exhibit decreased efficiency. This research contributes to the understanding of market dynamics, offering a valuable and structured tool for analysts and policymakers.

Keywords: Market efficiency; Financial markets; Inefficiency measurement (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:66:y:2024:i:c:s154461232400761x

DOI: 10.1016/j.frl.2024.105731

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