0431151 20240103204545.320141204235959.9 000339877500001 10.1140/epjb/e2014-50113-6 9 s. P cav_un_epca*02529071434-6028877 (2014)Springer Statistical and Nonlinear Physics fractal dimension stock market efficiency cav_un_auth*0256902 Krištoufek Ladislav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics K 50 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 S 50 Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2014/E/kristoufek-0431151.pdf GBP402/12/G097 GA ČR CZ cav_un_auth*0281000 FP7/2007-2013 HEXACOMM XE cav_un_auth*0303102 EC We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [L. Kristoufek, M. Vosvrda, Physica A 392, 184 (2013)]. This way, we are able to comment on stock market efficiency after controlling for different types of inefficiencies. Applying the methodology on 38 stock market indices across the world, we find that the most efficient markets are situated in the Eurozone (the Netherlands, France and Germany) and the least efficient ones in the Latin America (Venezuela and Chile). 2015 AH 2 4 A 4a 20231122140406.2 RVO:67985556 http://hdl.handle.net/11104/0236071 cav_un_auth*0305627 IES FSV UK Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Opletalova 26, 11000 Prague, S PHYSICSCONDENSEDMATTER 0.538 0.653 Q2 45.214 35.075 Q3 Q2 2014 Soubory v repozitáři: Kristoufek-0431151.pdf 000339877500001 WOS cav_un_epca*0252907 European Physical Journal B 1434-6028 1434-6036 Roč. 87 č. 7 2014 , "162-1"-"162-9" Springer