| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480639 | Physica A: Statistical Mechanics and its Applications | 2013 | 10 Pages |
Abstract
⺠A new measure of capital market efficiency is introduced. ⺠Fractal dimension, long- and short-range dependence of 41 stock indices are analyzed. ⺠NIKKEI and European markets are found to be the most efficient stock markets. ⺠Inefficiencies of the analyzed indices are dominated by local characteristics (such as a herding behavior).
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Ladislav Kristoufek, Miloslav Vosvrda,