Is the US stock market becoming weakly efficient over time? Evidence from 80-year-long data

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• 作者：Jose Alvarez-Ramirez ; Eduardo Rodriguez ; Gilberto Espinosa-Paredes
• 关键词：Entropy ; Market efficiency ; Adaptive market hypothesis
• 刊名：Physica A
• 出版年：2012
• 出版时间：15 November, 2012
• 年：2012
• 卷：391
• 期：22
• 页码：5643-5647
• 全文大小：268 K

文摘

We propose a degree of market efficiency in terms of entropy concepts. The relative efficiency for the US?stock market varies over time from 1929 to 2012, with a slight decline in the past 10 years.