Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83383
Authors: 
Ivanková, Kristýna
Year of Publication: 
2012
Series/Report no.: 
IES Working Paper 13/2012
Abstract: 
This article introduces a new measure of stock market efficiency. The measure specifies how much a stock market index deviates from Brownian motion and is computed from frequency representations of isoquantile shapes estimated from lagged index returns. We describe the theory behind the approach, discuss parameter choices and apply the novel measure on chosen indices.
Subjects: 
isoquantile
Efficient Market Hypothesis
stock market index
efficiency measure
JEL: 
C14
G14
Document Type: 
Working Paper
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