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Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data

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  • Alvarez-Ramirez, Jose
  • Rodriguez, Eduardo
  • Espinosa-Paredes, Gilberto

Abstract

We propose a degree of market efficiency in terms of entropy concepts. The relative efficiency for the US stock market varies over time from 1929 to 2012, with a slight decline in the past 10 years.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:phsmap:v:391:y:2012:i:22:p:5643-5647
    DOI: 10.1016/j.physa.2012.06.051
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