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

被引：35

作者：

Alvarez-Ramirez, Jose ^{[1
]}

Rodriguez, Eduardo ^{[1
]}

Espinosa-Paredes, Gilberto ^{[1
]}

机构：

[1] Univ Autonoma Metropolitana Iztapalapa, Mexico City 09340, DF, Mexico

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2012年 / 391卷 / 22期

关键词：

Entropy; Market efficiency; Adaptive market hypothesis; LONG-RANGE DEPENDENCE; RANKING EFFICIENCY; ENTROPY;

D O I：

10.1016/j.physa.2012.06.051

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：5643 / 5647

页数：5

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