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The informational efficiency and the financial crashes

  • Risso, Wiston Adrián
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    The evolution of the daily informational efficiency is measured for different stock market indices (Japanese, Malaysian, Russian, Mexican, and the US markets) by using the local entropy and the symbolic time series analysis. There is some evidence that for different stock markets, the probability of having a crash increases as the informational efficiency decreases. Further results suggest that the latter probability also increases for jumping to a less efficient market. In addition, the US stock market seems to be the most structurally efficient and the Russian is the most inefficient, maybe because is a young market, recently established in 1995.

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    File URL: http://www.sciencedirect.com/science/article/B7CPK-4S0209P-1/2/63578337c26fc76235a5e58b5445a007
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    Article provided by Elsevier in its journal Research in International Business and Finance.

    Volume (Year): 22 (2008)
    Issue (Month): 3 (September)
    Pages: 396-408

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    Handle: RePEc:eee:riibaf:v:22:y:2008:i:3:p:396-408
    Contact details of provider: Web page: http://www.elsevier.com/locate/ribaf

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    1. Jensen, Michael C., 1978. "Some anomalous evidence regarding market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 95-101.
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    7. Christian Schittenkopf & Peter Tino & Georg Dorffner, 2002. "The benefit of information reduction for trading strategies," Applied Economics, Taylor & Francis Journals, vol. 34(7), pages 917-930.
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