Application of the Pincus Index on European emerging stock index returns
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2021-08-10
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en
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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.
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Faculteit der Managementwetenschappen