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<p>In today’s ever-changing landscape of economy, one of the fundamental problems remains whether market mechanisms are functioning in an efficient way, and which are the variables impacting those levels of efficiency. The main objectives of the present paper are to contribute to a better understanding of market mechanisms, by testing the Efficient market hypothesis on its weak form at a macroeconomic level, and to assess the impact of technological and social progress, measured through different variables, on markets informational efficiency. We use an adapted version of L. Kristoufek si M. Vosvrda (L. Kristoufek, M. Vosvrda, 2013, 184) methodology for Efficiency Index, based on long term memory (using 2 estimators), fractal dimension (using 11 estimators), and entropy (estimated through the approximate entropy), in order to assess the levels of efficiency for 20 market indices from both developed and emerging or frontier economies, from the Eurasia region. Further on, by using the Bayesian Model Averaging (BMA), we study the impact of technological and social progress on markets informational efficiency. Main results of the study reveal the existence of a market dynamics characterized by areas with distinctive levels of “informational efficiency”, within both developed and emerging economies, encompassing a non-negligible link between past and present, persistence or anti-persistence, and a high data complexity. Moreover, while studying the relationship between market efficiency and social and technological progress, we observe that variables such as Government Effectiveness, or Control of Corruption, have a positive impact on the levels of efficiency of capital markets, while most of the technological progress estimators (amongst which Computer, communications and other services (% of commercial service exports), or Individuals using the Internet (% of population)), have a negative impact, translated into a decrease of informational market efficiency on the short run (the rise of high frequency trading).</p>
</abstract>

In today’s ever-changing landscape of economy, one of the fundamental problems remains whether market mechanisms are functioning in an efficient way, and which are the variables impacting those levels of efficiency. The main objectives of the present paper are to contribute to a better understanding of market mechanisms, by testing the Efficient market hypothesis on its weak form at a macroeconomic level, and to assess the impact of technological and social progress, measured through different variables, on markets informational efficiency. We use an adapted version of L. Kristoufek si M. Vosvrda (L. Kristoufek, M. Vosvrda, 2013, 184) methodology for Efficiency Index, based on long term memory (using 2 estimators), fractal dimension (using 11 estimators), and entropy (estimated through the approximate entropy), in order to assess the levels of efficiency for 20 market indices from both developed and emerging or frontier economies, from the Eurasia region. Further on, by using the Bayesian Model Averaging (BMA), we study the impact of technological and social progress on markets informational efficiency. Main results of the study reveal the existence of a market dynamics characterized by areas with distinctive levels of “informational efficiency”, within both developed and emerging economies, encompassing a non-negligible link between past and present, persistence or anti-persistence, and a high data complexity. Moreover, while studying the relationship between market efficiency and social and technological progress, we observe that variables such as Government Effectiveness, or Control of Corruption, have a positive impact on the levels of efficiency of capital markets, while most of the technological progress estimators (amongst which Computer, communications and other services (% of commercial service exports), or Individuals using the Internet (% of population)), have a negative impact, translated into a decrease of informational market efficiency on the short run (the rise of high frequency trading).

The changing landscape of economy: social and technological progress in explaining the informational efficiency of capital markets

Proceedings of the International Conference on Business Excellence

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

In today’s ever-changing landscape of economy, one of the fundamental problems remains whether market mechanisms are functioning in an efficient way, and which...

The changing landscape of economy: social and technological progress in explaining the informational efficiency of capital markets

Data publikacji: 27 lip 2020

Zakres stron: 940 - 952

DOI: https://doi.org/10.2478/picbe-2020-0089

Słowa kluczowe
market efficiency, high frequency trading, efficiency index, technological progress, social progress, worldwide governance indicators (WIG), adaptive market hypothesis

© 2020 Iuliana Ursu, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

The changing landscape of economy: social and technological progress in explaining the informational efficiency of capital markets

Data publikacji: 27 lip 2020

Zakres stron: 940 - 952

DOI: https://doi.org/10.2478/picbe-2020-0089

Słowa kluczowemarket efficiency, high frequency trading, efficiency index, technological progress, social progress, worldwide governance indicators (WIG), adaptive market hypothesis

© 2020 Iuliana Ursu, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

Słowa kluczowe
market efficiency, high frequency trading, efficiency index, technological progress, social progress, worldwide governance indicators (WIG), adaptive market hypothesis