Measuring the degree of time varying market inefficiency

Mikio Ito; Shunsuke Sugiyama

doi:10.1016/j.econlet.2009.01.028

Measuring the degree of time varying market inefficiency

Mikio Ito, Shunsuke Sugiyama

Research output: Contribution to journal › Article › peer-review

76 Citations (Scopus)

Abstract

We estimate a time varying autocorrelation of stock returns as a degree of market inefficiency; the relative inefficiency of the U.S. stock market varies from 1955 to 2006.

Original language	English
Pages (from-to)	62-64
Number of pages	3
Journal	Economics Letters
Volume	103
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2009.01.028
Publication status	Published - 2009 Apr
Externally published	Yes

Keywords

Degree of market inefficiency
Efficient market hypothesis
Kalman smoothing
State space model

ASJC Scopus subject areas

Finance
Economics and Econometrics

Access to Document

10.1016/j.econlet.2009.01.028

Cite this

@article{0ed730b8cc9b479986f72718c88fbf2e,

title = "Measuring the degree of time varying market inefficiency",

abstract = "We estimate a time varying autocorrelation of stock returns as a degree of market inefficiency; the relative inefficiency of the U.S. stock market varies from 1955 to 2006.",

keywords = "Degree of market inefficiency, Efficient market hypothesis, Kalman smoothing, State space model",

author = "Mikio Ito and Shunsuke Sugiyama",

year = "2009",

month = apr,

doi = "10.1016/j.econlet.2009.01.028",

language = "English",

volume = "103",

pages = "62--64",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier",

number = "1",

}

TY - JOUR

T1 - Measuring the degree of time varying market inefficiency

AU - Ito, Mikio

AU - Sugiyama, Shunsuke

PY - 2009/4

Y1 - 2009/4

N2 - We estimate a time varying autocorrelation of stock returns as a degree of market inefficiency; the relative inefficiency of the U.S. stock market varies from 1955 to 2006.

AB - We estimate a time varying autocorrelation of stock returns as a degree of market inefficiency; the relative inefficiency of the U.S. stock market varies from 1955 to 2006.

KW - Degree of market inefficiency

KW - Efficient market hypothesis

KW - Kalman smoothing

KW - State space model

UR - http://www.scopus.com/inward/record.url?scp=61549138417&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=61549138417&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2009.01.028

DO - 10.1016/j.econlet.2009.01.028

M3 - Article

AN - SCOPUS:61549138417

SN - 0165-1765

VL - 103

SP - 62

EP - 64

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

Measuring the degree of time varying market inefficiency

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this