The Relative Efficiency of Stockmarkets

Ricardo Giglio, Federal University of Santa Catarina
Raul Matsushita, University of Brasilia
Sergio Da Silva, Federal University of Santa Catarina

Abstract

Financial economists usually assess market efficiency in absolute terms. This is a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. This paper employs such an approach in order to rank 36 stock exchanges and 37 individual company stocks in terms of their relative efficiency.