0381818 20240103201340.920121030235959.9 000311003500019 10.1016/j.physa.2012.08.003 10 s. cav_un_epca*02574230378-43713921 (2013)184-193Elsevier Capital market efficiency Fractal dimension Long-range dependence Short-range dependence cav_un_auth*0256902 Krištoufek Ladislav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101230 Vošvrda Miloslav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2012/E/kristoufek-measuring capital market efficiency global and local correlations structure.pdf GBP402/12/G097 GA ČR CZ cav_un_auth*0281000 We introduce a new measure for capital market efficiency. The measure takes into consid- eration 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. The proposed methodology is applied to a portfolio of 41 stock indices. We find that the Japanese NIKKEI is the most efficient market. From a 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. 2013 AH 2 RVO:67985556 http://hdl.handle.net/11104/0212200 PHYSICSMULTIDISCIPLINARY 1.684 0.423 8.III 0.02372 0.473 15866 653 0.657 ScienceCitationIndex Q2 54.929 68.590 Q3 Q3 2013 000311003500019 WOS cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 392 č. 1 2013 184 193 Elsevier