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Measuring the degree of time varying market inefficiency

Author

Listed:
  • Ito, Mikio
  • Sugiyama, Shunsuke

Abstract

We estimate a time varying autocorrelation of stock returns as a degree of market inefficiency; the relative inefficiency of the U.S. stock market varies from 1955 to 2006.

Suggested Citation

  • Ito, Mikio & Sugiyama, Shunsuke, 2009. "Measuring the degree of time varying market inefficiency," Economics Letters, Elsevier, vol. 103(1), pages 62-64, April.
    • Handle: RePEc:eee:ecolet:v:103:y:2009:i:1:p:62-64
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    References listed on IDEAS

    as
    1. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    2. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
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