2012/08/06 by Ladislav Kristoufek, Ladislav Krištoufek, Miloslav Vošvrda +1 · 183 citations
Decision Sciences · Economics, Econometrics and Finance · #Capital market #Capital market line #Complex Systems and Time Series Analysis #Computer science #Econometrics #Economics #Finance #Financial Risk and Volatility Modeling #Financial economics #Geography #Herd behavior #Herding #Inefficiency #Market depth #Measure (data warehouse) #Microeconomics #Portfolio #Stock (firearms) #Stock Market Forecasting Methods #Stock market #Stock market index #q-fin.GN #q-fin.ST
paper · pdf · doi:10.1016/j.physa.2012.08.003
published in Physica A Statistical Mechanics and its Applications 392(1), 184-193 (Elsevier BV) · 18 pages
arxiv created 2012/08/06 · openalex publication_date 2012/08/11 · arxiv updated 2013/07/24 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
We introduce a new measure for the capital market efficiency. The measure takes into consideration the correlation structure of the returns (long-term and short-term memory) and local herding behavior (fractal dimension). The efficiency measure is taken as a distance from an ideal efficient market situation. Methodology is applied to a portfolio of 41 stock indices. We find that the Japanese NIKKEI is the most efficient market. From geographical point of view, the more efficient markets are dominated by the European stock indices and the less efficient markets cover mainly Latin America, Asia and Oceania. The inefficiency is mainly driven by a local herding, i.e. a low fractal dimension.