Application of the Pincus Index on European emerging stock index returns

Abstract

This paper applies the Pincus Index to quantify the randomness of stock market 10 indexes of 13 developing as well as 3 developed European countries and compares 11 the results with those of Smith (2012) who applied five different measures based on 12 the variance ratio methodology. This new market efficiency measure as presented by 13 Delgado-Bonal (2019) provides a ranking of countries in terms of relative market 14 efficiency and evidence for changing efficiency over time. The results show that the 15 Chow-Denning variance ratio test and Kim (2006) wild-bootstrap test are the most 16 correlated with the results provided by the Pincus Index on the same dataset. The 17 least correlated is the Lo and MacKinlay (1988) variance ratio test. Finally, 18 countries which provide the highest level of efficiency are Turkey and Poland, while 19 the least efficient countries are Malta and Iceland.