| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1002330 | Research in International Business and Finance | 2008 | 13 Pages |
Abstract
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.
Keywords
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
Wiston Adrián Risso,