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Evolution of stock market efficiency in Europe: Evidence from measuring periods of inefficiency

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  • Bock, J.
  • Geissel, S.

Abstract

This study introduces novel measures to quantify periods of market inefficiency, enabling precise analysis of their evolution over time and effective comparisons across markets or groups of markets. These measures are applied to an extensive dataset comprising stock indices from 25 European countries from 2007 to 2022. The empirical findings reveal a 20% increase in market inefficiency across Europe, primarily driven by heightened average inefficiencies in the stock markets of the group of developed European countries such as Germany and the Scandinavian countries.

Suggested Citation

  • Bock, J. & Geissel, S., 2024. "Evolution of stock market efficiency in Europe: Evidence from measuring periods of inefficiency," Finance Research Letters, Elsevier, vol. 62(PA).
    • Handle: RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001594
    DOI: 10.1016/j.frl.2024.105129
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    References listed on IDEAS

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    More about this item

    Keywords

    Efficient Market Hypothesis; Adaptive Market Hypothesis; AMIM; Periods of inefficiency; Average area of inefficiency; European stock markets;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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