Global Collective Dynamics of Financial Market Efficiency Using Attention Entropy with Hierarchical Clustering

The efficient market hypothesis (EMH) assumes that all available information in an financial is ideally fully reflected the price of asset. However, whether reality asset prices are not informational opportunity for profit or a systemic risk system needs to be corrected still ubiquitous concept, so many economic participants and research scholars have conducted related studies order understand phenomenon market. This employed attention entropy log-returns 27 global assets analyze time-varying efficiency. International markets could classified hierarchically into groups with similar long-term efficiency trends; however, at same time, ranks clusters were found remain stable only short period time terms short-term Therefore, complex network representation analysis was performed express patterns interacted each other over as coherent picture. It confirmed international connected, strongly globalized entangled. In addition, composed two modular structures grouped together dynamics. As result, although may high-efficiency state, it shows collective dynamics pattern which fall due spread risk.