Measuring the degree of time varying market inefficiency

C-Tier
Journal: Economics Letters
Year: 2009
Volume: 103
Issue: 1
Pages: 62-64

Authors (2)

Ito, Mikio (Keio University) Sugiyama, Shunsuke (not in RePEc)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We estimate a time varying autocorrelation of stock returns as a degree of market inefficiency; the relative inefficiency of the U.S. stock market varies from 1955 to 2006.

Technical Details

RePEc Handle
repec:eee:ecolet:v:103:y:2009:i:1:p:62-64
Journal Field
General
Author Count
2
Added to Database
2026-02-02