The relative efficiency of stockmarkets

Economics Bulletin

Volumn 7, Issue 6, 2008, Pages

  Giglio, Ricardo ^a   Matsushita, Raul ^b   da Silva, Sergio ^a  

^a FEDERAL UNIVERSITY OF SANTA CATARINA   (Brazil)

^b UNIVERSITY OF BRASILIA   (Brazil)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 55849137305     PISSN: None     EISSN: 15452921     Source Type: Journal    
DOI: None     Document Type: Article

References (7)

1. Beechey, M., D. Gruen, and J. Vickery (2000) "The Efficient Market Hypothesis: A Survey" Reserve Bank of Australia research discussion paper 2000-01.
2. Campbell, J. Y., A. W. Lo, and A. C. MacKinlay (1997) The Econometrics of Financial Markets, Princeton University Press: Princeton.
3. Chen, S. H., and C. W. Tan (1999) "Estimating the complexity function of financial time series: an estimation based on predictive stochastic complexity" Journal of Management and Economics 3, No. 3.
4. Kaspar, F., and H. G. Schuster (1987) "Easily calculable measure for the complexity of spatiotemporal patterns" Physical Review A 36, 842-848.
5. Lempel, A., and J. Ziv (1976) "On the complexity of finite sequences" IEEE Transactions on Information Theory 22, 75-81.
6. Mantegna, R. N., and E. Stanley (2000) An Introduction to Econophysics: Correlations and Complexity in Finance, Cambridge University Press: Cambridge.
7. Shmilovici, A., Y. Alon-Brimer, and S. Hauser (2003) "Using a stochastic complexity measure to check the efficient market hypothesis" Computational Economics 22, 273-284.