Publication detail

A Relative Efficiency Measure Based on Stock Market Index Data

Author(s): Mgr. Kristýna Ivanková ,
Type: IES Working Papers
Year: 2012
Number: 13
ISSN / ISBN:
Published in: IES Working Papers 13/2012
Publishing place: Prague
Keywords: isoquantile, Efficient Market Hypothesis, stock market index, efficiency measure
JEL codes: C14; G14
Suggested Citation: Ivanková, K. (2012). “A Relative Efficiency Measure Based on Stock Market Index Data” IES Working Paper 13/2012. IES FSV. Charles University.
Abstract: 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.
Downloadable: WP 2012_13_Ivankova

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