Measuring capital market efficiency: Global and local correlations structure
نویسندگان
چکیده
منابع مشابه
Measuring capital market efficiency: Global and local correlations structure
We introduce a new measure for the capital market efficiency. The measure takes into consideration the correlation structure of the returns (long-term and short-term memory) and local herding behavior (fractal dimension). The efficiency measure is taken as a distance from an ideal efficient market situation. Methodology is applied to a portfolio of 41 stock indices. We find that the Japanese NI...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2013
ISSN: 0378-4371
DOI: 10.1016/j.physa.2012.08.003