I'm going to test for the effect of the change in market efficiency on the stock market portfolio, and, I want to know what are the main measures known in the academic literature in order to compare them and to choose the "best" one for a given market.
Till now, I found the following measures to test for market efficiency in the broad market-specific case:
- Variance Ratio (Lo & MacKinlay, 1988)
- Approximate Entropy (Pincus, 1991)
- The Hurst exponent (Peters, 1994)
- Mkt Delay (Pagano & Schwartz, 2002)
For the firm-specific case, I found that the event-study procedure is the most common to test the market efficiency.
Could you suggest other measures or other procedures to test for market efficiency in the stock market, in addition to the ones I cited above, or, alternatively, suggest which is the best one by providing a reference?
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