Una medida de eficiencia de mercado: Un enfoque de teoría de la información

García Ruiz Reyna Susana (), Cruz Aké Salvador () and Venegas Martínez Francisco ()
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García Ruiz Reyna Susana: Instituto Politécnico Nacional
Cruz Aké Salvador: Instituto Politécnico Nacional
Venegas Martínez Francisco: Instituto Politécnico Nacional
Authors registered in the RePEc Author Service: Francisco Venegas-Martínez

Contaduría y Administración, 2014, vol. 59, issue 4, 137-166

Abstract: In this paper, based on the concept of Shannon entropy, we propose a measure of market efficiency by using the empirical density function of returns. Under certain conditions of ergodicity and stationarity, it is shown that the sample entropy converges to the entropy of the dominant state. It is also shown that the proposed measure is consistent with some of the axioms from Artzner et al. (1999) of a coherent risk measure. Bounds on the behavior of entropy as a measure of efficiency on the basis of extreme cases are also established; going from deterministic processes to pure white noise stochastic processes. Finally, for illustrative purposes, we carry out several applications of the proposed efficiency measure of capital to different markets: DJIA, S&P500, FTSE100 and IPC.

Keywords: información; mercados eficientes; comportamiento de agentes (search for similar items in EconPapers)
JEL-codes: C63 C92 G14 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:nax:conyad:v:59:y:2014:i:4:p:137-166

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