Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data

We propose a degree of market efficiency in terms of entropy concepts. The relative efficiency for the US stock market varies over time from 1929 to 2012, with a slight decline in the past 10 years.

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Year of publication:	2012
Authors:	Alvarez-Ramirez, Jose ; Rodriguez, Eduardo ; Espinosa-Paredes, Gilberto
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 391.2012, 22, p. 5643-5647
Publisher:	Elsevier
Subject:	Entropy \| Market efficiency \| Adaptive market hypothesis

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011058323