Eur. Phys. J. B (2014) 87: 162
https://doi.org/10.1140/epjb/e2014-50113-6

Regular Article

Measuring capital market efficiency: long-term memory, fractal dimension and approximate entropy

¹ Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Pod Vodarenskou Vezi 4, 18208 Prague, Czech Republic
² Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Opletalova 26, 11000 Prague, Czech Republic

^a e-mail: kristoufek@ies-prague.org

Received: 19 February 2014
Received in final form: 17 May 2014
Published online: 23 July 2014

Abstract

We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [L. Kristoufek, M. Vosvrda, Physica A 392, 184 (2013)]. This way, we are able to comment on stock market efficiency after controlling for different types of inefficiencies. Applying the methodology on 38 stock market indices across the world, we find that the most efficient markets are situated in the Eurozone (the Netherlands, France and Germany) and the least efficient ones in the Latin America (Venezuela and Chile).