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Una medida de eficiencia de mercado: Un enfoque de teoría de la información

Author

Listed:
  • García Ruiz Reyna Susana

    (Instituto Politécnico Nacional)

  • Cruz Aké Salvador

    (Instituto Politécnico Nacional)

  • Venegas Martínez Francisco

    (Instituto Politécnico Nacional)

Abstract

In this paper, based on the concept of Shannon entropy, we propose a measure of market efficiency by using the empirical density function of returns. Under certain conditions of ergodicity and stationarity, it is shown that the sample entropy converges to the entropy of the dominant state. It is also shown that the proposed measure is consistent with some of the axioms from Artzner et al. (1999) of a coherent risk measure. Bounds on the behavior of entropy as a measure of efficiency on the basis of extreme cases are also established; going from deterministic processes to pure white noise stochastic processes. Finally, for illustrative purposes, we carry out several applications of the proposed efficiency measure of capital to different markets: DJIA, S&P500, FTSE100 and IPC.

Suggested Citation

  • García Ruiz Reyna Susana & Cruz Aké Salvador & Venegas Martínez Francisco, 2014. "Una medida de eficiencia de mercado: Un enfoque de teoría de la información," Contaduría y Administración, Accounting and Management, vol. 59(4), pages 137-166, octubre-d.
    • Handle: RePEc:nax:conyad:v:59:y:2014:i:4:p:137-166
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C92 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Group Behavior
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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