The relative efficiency of stockmarkets
AbstractFinancial economists usually assess market efficiency in absolute terms. This is a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. This paper employs such an approach in order to rank 36 stock exchanges and 37 individual company stocks in terms of their relative efficiency.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 7 (2008)
Issue (Month): 6 ()
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Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
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- Ching-Wei Tan, 1999. "Estimating the Complexity Function of Financial Time Series: An Estimation Based on Predictive Stochastic Complexity," Computing in Economics and Finance 1999 1143, Society for Computational Economics.
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- Brandouy, Olivier & Delahaye, Jean-Paul & Ma, Lin & Zenil, Hector, 2014. "Algorithmic complexity of financial motions," Research in International Business and Finance, Elsevier, vol. 30(C), pages 336-347.
- Apartsin, Yevgenia & Maymon, Yafit & Cohen, Yuval & Singer, Gonen, 2013. "Nationality and risk attitude: Testing differences and similarities of investors' behavior in selected financial markets," Global Finance Journal, Elsevier, vol. 24(2), pages 114-118.
- Alvarez-Ramirez, Jose & Rodriguez, Eduardo & Espinosa-Paredes, Gilberto, 2012. "Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5643-5647.
- Kei Takeuchi & Akimichi Takemura & Masayuki Kumon, 2011. "New Procedures for Testing Whether Stock Price Processes are Martingales," Computational Economics, Society for Computational Economics, vol. 37(1), pages 67-88, January.
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