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Ranking Capital Markets Efficiency: The Case of Twenty European Stock Markets
Keywords
Capital market, Market efficiency, Long-range dependence, Fractal dimension, Efficiency index
Abstract
This study investigates the deviations from efficiency of twenty European Stock Markets using three measures: long-term memory, fractal dimension and efficiency index of Kristoufek and Vosvrda (2012). The markets are ranked according to each measure on a period of fifteen years but also on three sub-periods of time. The sub-periods are chosen depending on the phenomena that has marked the stock market evolution. The results show that the developed markets are closer to efficiency than the emerging ones. Overall, the most efficient markets are the ones of UK, Sweden, Switzerland or France while among the least efficient ones can be mentioned the markets of Bulgaria, Czech Republic, Greece or Slovakia.