| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0395886 |
| utime |
20240103202925.0 |
| mtime |
20130919235959.9 |
| title
(primary) (eng) |
Measuring capital market efficiency: Long-term memory, fractal dimension and approximate entropy |
| specification |
| page_count |
6 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0395722 |
| ISBN |
978-80-87035-76-4 |
| title
|
Proceedings of the 31st International Conference Mathematical Methods in Economics 2013 |
| page_num |
470-475 |
| publisher |
| place |
Jihlava |
| name |
College of Polytechnics Jihlava |
| year |
2013 |
|
| editor |
| name1 |
Vojáčková |
| name2 |
Hana |
|
|
| keyword |
capital market efficiency |
| keyword |
long-range dependence |
| keyword |
fractal dimension |
| keyword |
approximate entropy |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101230 |
| name1 |
Vošvrda |
| name2 |
Miloslav |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
SVV265504 |
| agency |
MŠk |
| country |
CZ |
| ARLID |
cav_un_auth*0293848 |
|
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| abstract
(eng) |
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Krištoufek&Vošvrda (2013), Physica A 392]. 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). |
| action |
| ARLID |
cav_un_auth*0292039 |
| name |
MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./ |
| place |
Jihlava |
| dates |
11.09.2013-13.09.2013 |
| country |
CZ |
|
| reportyear |
2014 |
| RIV |
AH |
| num_of_auth |
2 |
| presentation_type |
PR |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0223789 |
| arlyear |
2013 |
| mrcbU63 |
cav_un_epca*0395722 Proceedings of the 31st International Conference Mathematical Methods in Economics 2013 978-80-87035-76-4 470 475 Jihlava College of Polytechnics Jihlava 2013 |
| mrcbU67 |
Vojáčková Hana 340 |
|