A Relative Efficiency Measure Based on Stock Market Index Data

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.

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Year of publication:	2012-06
Authors:	Ivanková, Kristýna
Institutions:	Institut ekonomických studií, Univerzita Karlova v Praze
Subject:	isoquantile \| Efficient Market Hypothesis \| stock market index \| efficiency measure

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Extent:	application/pdf
Series:	Working Papers IES.
Type of publication:	Book / Working Paper
Notes:	Number 2012/13 9 pages longages
Classification:	C14 - Semiparametric and Nonparametric Methods ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010551360