Please use this identifier to cite or link to this item:
Kristoufek, Ladislav
Vosvrda, Miloslav
Year of Publication: 
Series/Report no.: 
FinMaP-Working Paper 18
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (2013), Physica A 392]. This way, we are able to comment on stock market efficiency after controlling for different types of inefficiencies. Applying the methodology on 38 stock market indices across the world, we find that the most efficient markets are situated in the Eurozone (the Netherlands, France and Germany) and the least efficient ones in the Latin America (Venezuela and Chile).
capital market efficiency
long-term memory
fractal dimension
approximate entropy
Document Type: 
Working Paper

Files in This Item:
1.13 MB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.