Year: 2022
Type: article
Abstract: Market inefficiency is a latent concept, and it is difficult to be measured by means of a single indicator. In this paper, following both the adaptive market hypothesis (AMH) and the fractal market hypothesis (FMH), we develop a new time‐varying measure of stock market inefficiency. The proposed measure, called composite efficiency index (CEI), is estimated as the synthesis of the most common efficiency measures such as the returns’ autocorrelation, liquidity, volatility, and a new measure based on the Hurst exponent, called the Hurst efficiency index (HEI). To empirically validate the indicator, we compare different European stock markets in terms of efficiency over time.
Source: Complexity
DOI: 10.1155/2022/9838850
Institutions: University of Naples Federico II, University of Almería
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $2,760
Funder: Universidad de Almería
Awards: G7674192932, G86681456, G904018790
OpenAlex ID: W4207046498