A Composite Index for Measuring Stock Market Inefficiency

Raffaele Mattera, Fabrizio Di Sciorio, Juan E. Trinidad-Segovia and Sameh S. Askar

Complexity, 2022, vol. 2022, 1-13

Abstract: Market inefficiency is a latent concept, and it is difficult to be measured by means of a single indicator. In this paper, following both the adaptive market hypothesis (AMH) and the fractal market hypothesis (FMH), we develop a new time-varying measure of stock market inefficiency. The proposed measure, called composite efficiency index (CEI), is estimated as the synthesis of the most common efficiency measures such as the returns’ autocorrelation, liquidity, volatility, and a new measure based on the Hurst exponent, called the Hurst efficiency index (HEI). To empirically validate the indicator, we compare different European stock markets in terms of efficiency over time.

Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://downloads.hindawi.com/journals/complexity/2022/9838850.pdf (application/pdf)
http://downloads.hindawi.com/journals/complexity/2022/9838850.xml (application/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:complx:9838850

DOI: 10.1155/2022/9838850

Access Statistics for this article

More articles in Complexity from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem (mohamed.abdelhakeem@hindawi.com).