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
Authors:	Ivanková, Kristýna
Publisher:	Prague : Charles University in Prague, Institute of Economic Studies (IES)
Subject:	isoquantile \| Efficient Market Hypothesis \| stock market index \| efficiency measure

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Series:	IES Working Paper ; 13/2012
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	71726744X [GVK] hdl:10419/83383 [Handle]
Classification:	C14 - Semiparametric and Nonparametric Methods ; G14 - Information and Market Efficiency; Event Studies
Source:	EconStor

Persistent link: https://www.econbiz.de/10010322251