Measuring the degree of time varying market inefficiency

Mikio Ito, Shunsuke Sugiyama

Research output: Contribution to journalArticle

58 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 1

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Keywords

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

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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