| bibtype |
J -
Journal Article
|
| ARLID |
0431151 |
| utime |
20240103204545.3 |
| mtime |
20141204235959.9 |
| WOS |
000339877500001 |
| DOI |
10.1140/epjb/e2014-50113-6 |
| title
(primary) (eng) |
Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy |
| specification |
| page_count |
9 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0252907 |
| ISSN |
1434-6028 |
| title
|
European Physical Journal B |
| volume_id |
87 |
| volume |
7 (2014) |
| publisher |
|
|
| keyword |
Statistical and Nonlinear Physics |
| keyword |
fractal dimension |
| keyword |
stock market efficiency |
| 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 |
| garant |
K |
| share |
50 |
| 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 |
| garant |
S |
| share |
50 |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GBP402/12/G097 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0281000 |
|
| project |
| project_id |
FP7/2007-2013 |
| agency |
HEXACOMM |
| country |
XE |
| ARLID |
cav_un_auth*0303102 |
| agency |
EC |
|
| abstract
(eng) |
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). |
| reportyear |
2015 |
| RIV |
AH |
| num_of_auth |
2 |
| mrcbC52 |
4 A 4a 20231122140406.2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0236071 |
| cooperation |
| ARLID |
cav_un_auth*0305627 |
| institution |
IES FSV UK |
| name |
Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Opletalova 26, 11000 Prague, |
|
| confidential |
S |
| mrcbT16-e |
PHYSICSCONDENSEDMATTER |
| mrcbT16-j |
0.538 |
| mrcbT16-s |
0.653 |
| mrcbT16-4 |
Q2 |
| mrcbT16-B |
45.214 |
| mrcbT16-C |
35.075 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q3 |
| arlyear |
2014 |
| mrcbTft |
\nSoubory v repozitáři: Kristoufek-0431151.pdf |
| mrcbU34 |
000339877500001 WOS |
| mrcbU63 |
cav_un_epca*0252907 European Physical Journal B 1434-6028 1434-6036 Roč. 87 č. 7 2014 , "162-1"-"162-9" Springer |
|