dc.contributor.author | Tran, Vu Le | |
dc.contributor.author | Leirvik, Thomas | |
dc.date.accessioned | 2020-06-22T11:58:31Z | |
dc.date.available | 2020-06-22T11:58:31Z | |
dc.date.created | 2019-03-14T09:57:36Z | |
dc.date.issued | 2019 | |
dc.identifier.citation | Tran, V. L., Leirvik, T. (2019). A simple but powerful measure of market efficiency. Finance Research Letters, 29 141-151. doi: | en_US |
dc.identifier.issn | 1544-6131 | |
dc.identifier.uri | https://hdl.handle.net/11250/2659023 | |
dc.description.abstract | We construct a simple measure to quantify the level of market efficiency. We apply this measure to investigate the level of market efficiency and analyze its variation over time. The main contribution of the new measure is that it makes it easy to compare market efficiency across assets, time, regions, and data frequencies. We find that markets are often efficient, but can be significantly inefficient over longer periods. Our empirical results indicates that in many periods of major economic events, financial markets becomes less efficient. This corroborates earlier results on market efficiency, and simplifies interpretation and comparisons. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Elsevier | en_US |
dc.rights | Navngivelse 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/deed.no | * |
dc.title | A simple but powerful measure of market efficiency | en_US |
dc.type | Peer reviewed | en_US |
dc.type | Journal article | en_US |
dc.description.version | publishedVersion | en_US |
dc.rights.holder | © 2019 The Author(s) | en_US |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210::Bedriftsøkonomi: 213 | en_US |
dc.source.pagenumber | 141-151 | en_US |
dc.source.volume | 29 | en_US |
dc.source.journal | Finance Research Letters | en_US |
dc.identifier.doi | 10.1016/j.frl.2019.03.004 | |
dc.identifier.cristin | 1684676 | |
dc.description.localcode | Unit Licence Agreement | en_US |