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Ranking market efficiency for stock markets: A nonlinear perspective

โœ Scribed by Kian-Ping Lim

Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
211 KB
Volume
376
Category
Article
ISSN
0378-4371

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โœฆ Synopsis

The present paper demonstrates, via a rolling sample approach, that the stylized fact of nonlinear dependence in stock returns is quite localized in time, suggesting that market efficiency evolves over time. Given that the rolling sample framework is able to detect periods of efficiency/inefficiency, the relative efficiency of stock markets can easily be assessed by comparing the total time windows these markets exhibit significant nonlinear serial dependence. It was found that the US market is the most efficient while Argentine is at the end of the ranking.

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