Collective dynamics of stock market efficiency.

ABSTRACT: Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the efficiency of stock markets, most studies assume this efficiency to be constant over time so that its dynamical and collective aspects remain poorly understood. Here we define the time-varying efficiency of stock markets by calculating the permutation entropy within sliding time-windows of log-returns of stock market indices. We show that major world stock markets can be hierarchically classified into several groups that display similar long-term efficiency profiles. However, we also show that efficiency ranks and clusters of markets with similar trends

SUBMITTER: Alves LGA 

PROVIDER: S-EPMC7738547 | biostudies-literature | 2020 Dec

REPOSITORIES: biostudies-literature