A Composite Index for Measuring Stock Market Inefficiency
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 mea...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
|
| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2022/9838850 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1849304962182414336 |
|---|---|
| author | Raffaele Mattera Fabrizio Di Sciorio Juan E. Trinidad-Segovia |
| author_facet | Raffaele Mattera Fabrizio Di Sciorio Juan E. Trinidad-Segovia |
| author_sort | Raffaele Mattera |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-3b75304de73a4cabb4ba9fe7b10b8a06 |
| institution | Kabale University |
| issn | 1099-0526 |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-3b75304de73a4cabb4ba9fe7b10b8a062025-08-20T03:55:36ZengWileyComplexity1099-05262022-01-01202210.1155/2022/9838850A Composite Index for Measuring Stock Market InefficiencyRaffaele Mattera0Fabrizio Di Sciorio1Juan E. Trinidad-Segovia2Department of Economics and StatisticsDepartment of Economics and BusinessDepartment of Economics and BusinessMarket 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.http://dx.doi.org/10.1155/2022/9838850 |
| spellingShingle | Raffaele Mattera Fabrizio Di Sciorio Juan E. Trinidad-Segovia A Composite Index for Measuring Stock Market Inefficiency Complexity |
| title | A Composite Index for Measuring Stock Market Inefficiency |
| title_full | A Composite Index for Measuring Stock Market Inefficiency |
| title_fullStr | A Composite Index for Measuring Stock Market Inefficiency |
| title_full_unstemmed | A Composite Index for Measuring Stock Market Inefficiency |
| title_short | A Composite Index for Measuring Stock Market Inefficiency |
| title_sort | composite index for measuring stock market inefficiency |
| url | http://dx.doi.org/10.1155/2022/9838850 |
| work_keys_str_mv | AT raffaelemattera acompositeindexformeasuringstockmarketinefficiency AT fabriziodisciorio acompositeindexformeasuringstockmarketinefficiency AT juanetrinidadsegovia acompositeindexformeasuringstockmarketinefficiency AT raffaelemattera compositeindexformeasuringstockmarketinefficiency AT fabriziodisciorio compositeindexformeasuringstockmarketinefficiency AT juanetrinidadsegovia compositeindexformeasuringstockmarketinefficiency |