Original scientific paper
https://doi.org/10.1080/1331677X.2017.1383172
A new proposal for efficiency quantification of capital markets in the context of complex non-linear dynamics and chaos
Camelia Oprean
; Faculty of Economics, Department of Finance and Accounting, Lucian Blaga University, Sibiu, Romania
Cristina Tănăsescu
; Faculty of Economics, Department of Business Administration, Lucian Blaga University, Sibiu, Romania
Amelia Bucur
; Faculty of Science, Department of Mathematics and Informatics, Lucian Blaga University, Sibiu, Romania
Abstract
The main purpose of this paper is efficiency analysis as well as its
quantification in the case of emerging capital markets, by building
a new measure of market efficiency. The basic assumption of such
markets is the lack of correlation between returns, and therefore the
existence of low entropy, the lack of randomness, manifestation of
fractality and long-term memory, integrated into a single measure,
will indicate the distancing from the state of efficient market. This
paper proposes five different estimates (for informational entropy,
run test, Hurst exponent, long-term correlation coefficient and fractal
dimension) to construct a new measure of market efficiency based on
a deviation from the ideal state (expressed by the efficient market).
The Capital Market Efficiency Exponent is estimated for nine emerging
capital markets and, for comparison, for three developed capital
markets, at different stages of development over a 16-year time span.
Keywords
Market efficiency; informational entropy; longterm memory
Hrčak ID:
193205
URI
Publication date:
1.12.2017.
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