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The relative efficiency of stockmarkets

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Author Info

  • Sergio Da Silva

    ()
    (Department of Economics, Federal University of Santa Catarina, Brazil)

  • Raul Matsushita

    ()
    (Department of Statistics, University of Brasilia, Brazil)

  • Ricardo Giglio

    ()
    (Department of Economics, Federal University of Santa Catarina, Brazil)

Abstract

Financial 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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File URL: http://www.accessecon.com/pubs/EB/2008/Volume7/EB-08G10001A.pdf
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Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 7 (2008)
Issue (Month): 6 ()
Pages: 1-12

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Handle: RePEc:ebl:ecbull:eb-08g10001

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References

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  1. 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.
  2. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia.
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Cited by:
  1. Giglio, Ricardo & Da Silva, Sergio, 2009. "Ranking the stocks listed on Bovespa according to their relative efficiency," MPRA Paper 22720, University Library of Munich, Germany.
  2. Olivier Brandouy & Jean-Paul Delahaye & Lin Ma & Hector Zenil, 2012. "Algorithmic Complexity of Financial Motions," ASSRU Discussion Papers 1204, ASSRU - Algorithmic Social Science Research Unit.
  3. 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.
  4. 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.
  5. 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.
  6. 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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