Detail publikace

A Relative Efficiency Measure Based on Stock Market Index Data

Autor: Mgr. Kristýna Ivanková ,
Typ: IES Working Papers
Rok: 2012
Číslo: 13
ISSN / ISBN:
Publikováno v: IES Working Papers 13/2012
Místo vydání: Prague
Klíčová slova: isoquantile, Efficient Market Hypothesis, stock market index, efficiency measure
JEL kódy: C14; G14
Citace: Ivanková, K. (2012). “A Relative Efficiency Measure Based on Stock Market Index Data” IES Working Paper 13/2012. IES FSV. Charles University.
Abstrakt: This article introduces a new measure of stock market efficiency. The measure specifies how much a stock market index deviates from Brownian motion and is computed from frequency representations of isoquantile shapes estimated from lagged index returns. We describe the theory behind the approach, discuss parameter choices and apply the novel measure on chosen indices.
Ke stažení: WP 2012_13_Ivankova
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