The market efficiency in the stock markets

Jae-Suk Yang, Wooseop Kwak, Taisei Kaizoji () and In-mook Kim

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Abstract: We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability distribution of the log return for Standard and Poor's 500 (S&P 500), Nikkei stock average index, and Korean composition stock price index (KOSPI). Based on the microscopic spin model, we also find that these statistical quantities in stock markets depend on the market efficiency.

Date: 2007-01, Revised 2007-01
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Published in The European Physical Journal B 61 (2) 241-246 (2008)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0701179

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