Measuring the degree of time varying market inefficiency

Mikio Itou, Shunsuke Sugiyama

Research output: Contribution to journalArticle

54 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 languageEnglish
Pages (from-to)62-64
Number of pages3
JournalEconomics Letters
Volume103
Issue number1
DOIs
Publication statusPublished - 2009 Apr

Fingerprint

Time-varying
Autocorrelation
Market inefficiency
Inefficiency
Stock market
Stock returns

Keywords

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

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

Measuring the degree of time varying market inefficiency. / Itou, Mikio; Sugiyama, Shunsuke.

In: Economics Letters, Vol. 103, No. 1, 04.2009, p. 62-64.

Research output: Contribution to journalArticle

Itou, Mikio ; Sugiyama, Shunsuke. / Measuring the degree of time varying market inefficiency. In: Economics Letters. 2009 ; Vol. 103, No. 1. pp. 62-64.
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