Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data

Jose Alvarez-Ramirez, Eduardo Rodriguez and Gilberto Espinosa-Paredes

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 22, 5643-5647

Abstract: We propose a degree of market efficiency in terms of entropy concepts. The relative efficiency for the US stock market varies over time from 1929 to 2012, with a slight decline in the past 10 years.

Keywords: Entropy; Market efficiency; Adaptive market hypothesis (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (26)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:22:p:5643-5647

DOI: 10.1016/j.physa.2012.06.051

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