A Composite Index for Measuring Stock Market Inefficiency

<table class="table-group" id="tab1"><tr><td><table class="table"><tr><td class="thead-hr" colspan="3"><hr/></td></tr><tr><td class="align_left">Market</td><td class="align_center"><span style="width: 9.52083ptpx;"><svg height="10.7866pt" id="M121" style="vertical-align:-2.150701pt" version="1.1" viewbox="-0.0498162 -8.6359 9.52083 10.7866" width="9.52083pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M699 368C699 549 574 666 407 666C186 666 23 488 23 277C23 113 129 -3 288 -13L307 -26C431 -111 501 -139 533 -147C559 -154 613 -163 658 -164L666 -141C597 -111 507 -66 430 -11L416 -1C580 42 699 190 699 368ZM601 371C601 227 518 54 381 22L354 40L278 24C175 47 120 145 120 269C120 451 235 631 398 631C540 631 601 521 601 371Z"></path></g></svg></span></td><td class="align_center"><svg height="10.2124pt" id="M122" style="vertical-align:-3.42943pt" version="1.1" viewbox="-0.0498162 -6.78297 7.83752 10.2124" width="7.83752pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M570 304C570 398 525 448 414 448C385 448 343 445 312 434L329 511L321 518C297 504 262 482 244 460L233 411C195 397 159 381 128 358L135 332C160 347 189 360 224 373L111 -147C97 -210 84 -218 17 -231L13 -257L254 -247L259 -218L233 -216C183 -212 177 -202 189 -142L218 -1C238 -10 266 -12 283 -12C351 3 429 48 483 105C543 168 570 242 570 304ZM482 289C482 161 380 33 304 33C278 33 248 51 233 69L303 396C326 400 352 403 369 403C428 403 482 380 482 289Z"></path></g></svg> value</td></tr><tr><td class="align_left" colspan="3"><hr/></td></tr><tr><td class="align_left">AEX</td><td class="align_center">261.74</td><td class="align_center">2.2 <svg height="11.7978pt" id="M123" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -11.5914 20.4775 11.7978" width="20.4775pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M391 364C391 409 353 448 295 448C249 448 198 426 152 393C65 331 23 225 23 139C23 14 96 -12 146 -12C198 -12 280 9 367 101L351 124C300 78 242 48 194 48C129 48 109 107 109 162V191C208 213 391 266 391 364ZM313 350C313 305 268 261 113 223C132 334 187 381 217 398C227 404 244 405 261 405C290 405 313 385 313 350Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,5.382,-5.741)"><path d="M556 236V289H56V236H556Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,10.942,-5.741)"><path d="M389 0V32C297 38 291 46 291 118V635C234 613 175 595 109 583V556L161 554C203 552 207 547 207 497V118C207 46 201 38 110 32V0H389Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,15.374,-5.741)"><path d="M141 347C171 480 264 541 327 570C364 587 403 599 436 605L429 641C389 634 339 622 300 609C191 570 37 458 37 239C37 86 126 -12 245 -12C367 -12 454 89 454 210C454 314 380 397 272 397C252 397 230 390 208 380L141 347ZM231 338C323 338 366 257 366 174C366 108 340 27 263 27C180 27 129 123 129 244C129 268 130 292 135 310C158 323 193 338 231 338Z"></path></g></svg></td></tr><tr><td class="align_left">ATX</td><td class="align_center">156.22</td><td class="align_center">2.2 <svg height="11.7978pt" id="M124" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -11.5914 20.4775 11.7978" width="20.4775pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M391 364C391 409 353 448 295 448C249 448 198 426 152 393C65 331 23 225 23 139C23 14 96 -12 146 -12C198 -12 280 9 367 101L351 124C300 78 242 48 194 48C129 48 109 107 109 162V191C208 213 391 266 391 364ZM313 350C313 305 268 261 113 223C132 334 187 381 217 398C227 404 244 405 261 405C290 405 313 385 313 350Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,5.382,-5.741)"><path d="M556 236V289H56V236H556Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,10.942,-5.741)"><path d="M389 0V32C297 38 291 46 291 118V635C234 613 175 595 109 583V556L161 554C203 552 207 547 207 497V118C207 46 201 38 110 32V0H389Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,15.374,-5.741)"><path d="M141 347C171 480 264 541 327 570C364 587 403 599 436 605L429 641C389 634 339 622 300 609C191 570 37 458 37 239C37 86 126 -12 245 -12C367 -12 454 89 454 210C454 314 380 397 272 397C252 397 230 390 208 380L141 347ZM231 338C323 338 366 257 366 174C366 108 340 27 263 27C180 27 129 123 129 244C129 268 130 292 135 310C158 323 193 338 231 338Z"></path></g></svg></td></tr><tr><td class="align_left">BEL20</td><td class="align_center">105.9</td><td class="align_center">2.2 <svg height="11.7978pt" id="M125" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -11.5914 20.4775 11.7978" width="20.4775pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M391 364C391 409 353 448 295 448C249 448 198 426 152 393C65 331 23 225 23 139C23 14 96 -12 146 -12C198 -12 280 9 367 101L351 124C300 78 242 48 194 48C129 48 109 107 109 162V191C208 213 391 266 391 364ZM313 350C313 305 268 261 113 223C132 334 187 381 217 398C227 404 244 405 261 405C290 405 313 385 313 350Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,5.382,-5.741)"><path d="M556 236V289H56V236H556Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,10.942,-5.741)"><path d="M389 0V32C297 38 291 46 291 118V635C234 613 175 595 109 583V556L161 554C203 552 207 547 207 497V118C207 46 201 38 110 32V0H389Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,15.374,-5.741)"><path d="M141 347C171 480 264 541 327 570C364 587 403 599 436 605L429 641C389 634 339 622 300 609C191 570 37 458 37 239C37 86 126 -12 245 -12C367 -12 454 89 454 210C454 314 380 397 272 397C252 397 230 390 208 380L141 347ZM231 338C323 338 366 257 366 174C366 108 340 27 263 27C180 27 129 123 129 244C129 268 130 292 135 310C158 323 193 338 231 338Z"></path></g></svg></td></tr><tr><td class="align_left">CAC40</td><td class="align_center">133.23</td><td class="align_center">2.2 <svg height="11.7978pt" id="M126" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -11.5914 20.4775 11.7978" width="20.4775pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M391 364C391 409 353 448 295 448C249 448 198 426 152 393C65 331 23 225 23 139C23 14 96 -12 146 -12C198 -12 280 9 367 101L351 124C300 78 242 48 194 48C129 48 109 107 109 162V191C208 213 391 266 391 364ZM313 350C313 305 268 261 113 223C132 334 187 381 217 398C227 404 244 405 261 405C290 405 313 385 313 350Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,5.382,-5.741)"><path d="M556 236V289H56V236H556Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,10.942,-5.741)"><path d="M389 0V32C297 38 291 46 291 118V635C234 613 175 595 109 583V556L161 554C203 552 207 547 207 497V118C207 46 201 38 110 32V0H389Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,15.374,-5.741)"><path d="M141 347C171 480 264 541 327 570C364 587 403 599 436 605L429 641C389 634 339 622 300 609C191 570 37 458 37 239C37 86 126 -12 245 -12C367 -12 454 89 454 210C454 314 380 397 272 397C252 397 230 390 208 380L141 347ZM231 338C323 338 366 257 366 174C366 108 340 27 263 27C180 27 129 123 129 244C129 268 130 292 135 310C158 323 193 338 231 338Z"></path></g></svg></td></tr><tr><td class="align_left">DAX30</td><td class="align_center">88.632</td><td class="align_center">9.992 <svg height="11.7978pt" id="M127" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -11.5914 20.4775 11.7978" width="20.4775pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M391 364C391 409 353 448 295 448C249 448 198 426 152 393C65 331 23 225 23 139C23 14 96 -12 146 -12C198 -12 280 9 367 101L351 124C300 78 242 48 194 48C129 48 109 107 109 162V191C208 213 391 266 391 364ZM313 350C313 305 268 261 113 223C132 334 187 381 217 398C227 404 244 405 261 405C290 405 313 385 313 350Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,5.382,-5.741)"><path d="M556 236V289H56V236H556Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,10.942,-5.741)"><path d="M389 0V32C297 38 291 46 291 118V635C234 613 175 595 109 583V556L161 554C203 552 207 547 207 497V118C207 46 201 38 110 32V0H389Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,15.374,-5.741)"><path d="M158 548H390L417 615L410 623H122L83 318C105 326 143 337 185 337C296 337 350 275 350 188C350 116 308 42 225 42C164 42 122 74 100 93C90 101 82 99 72 92C60 82 51 68 50 59C48 46 52 38 66 24C82 9 125 -12 172 -12C225 -11 292 15 346 59C408 108 437 166 437 226C437 309 371 397 242 397C214 397 170 382 133 369L158 548Z"></path></g></svg></td></tr><tr><td class="align_left">IBEX35</td><td class="align_center">104.09</td><td class="align_center">2.2 <svg height="11.7978pt" id="M128" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -11.5914 20.4775 11.7978" width="20.4775pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M391 364C391 409 353 448 295 448C249 448 198 426 152 393C65 331 23 225 23 139C23 14 96 -12 146 -12C198 -12 280 9 367 101L351 124C300 78 242 48 194 48C129 48 109 107 109 162V191C208 213 391 266 391 364ZM313 350C313 305 268 261 113 223C132 334 187 381 217 398C227 404 244 405 261 405C290 405 313 385 313 350Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,5.382,-5.741)"><path d="M556 236V289H56V236H556Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,10.942,-5.741)"><path d="M389 0V32C297 38 291 46 291 118V635C234 613 175 595 109 583V556L161 554C203 552 207 547 207 497V118C207 46 201 38 110 32V0H389Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,15.374,-5.741)"><path d="M141 347C171 480 264 541 327 570C364 587 403 599 436 605L429 641C389 634 339 622 300 609C191 570 37 458 37 239C37 86 126 -12 245 -12C367 -12 454 89 454 210C454 314 380 397 272 397C252 397 230 390 208 380L141 347ZM231 338C323 338 366 257 366 174C366 108 340 27 263 27C180 27 129 123 129 244C129 268 130 292 135 310C158 323 193 338 231 338Z"></path></g></svg></td></tr><tr><td class="align_left">PSI20</td><td class="align_center">76.871</td><td class="align_center">2.055 <svg height="11.7978pt" id="M129" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -11.5914 20.4775 11.7978" width="20.4775pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M391 364C391 409 353 448 295 448C249 448 198 426 152 393C65 331 23 225 23 139C23 14 96 -12 146 -12C198 -12 280 9 367 101L351 124C300 78 242 48 194 48C129 48 109 107 109 162V191C208 213 391 266 391 364ZM313 350C313 305 268 261 113 223C132 334 187 381 217 398C227 404 244 405 261 405C290 405 313 385 313 350Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,5.382,-5.741)"><path d="M556 236V289H56V236H556Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,10.942,-5.741)"><path d="M389 0V32C297 38 291 46 291 118V635C234 613 175 595 109 583V556L161 554C203 552 207 547 207 497V118C207 46 201 38 110 32V0H389Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,15.374,-5.741)"><path d="M414 144C384 79 371 75 317 75H135L276 221C367 316 408 376 408 465C408 570 327 635 237 635C179 635 131 609 100 575L42 494L67 471C94 510 138 565 205 565C277 565 321 517 321 435C321 348 258 270 195 195C146 137 88 81 33 26V0H411C423 44 433 88 446 135L414 144Z"></path></g></svg></td></tr><tr><td class="align_left">SMI</td><td class="align_center">209.27</td><td class="align_center">2.2 <svg height="11.7978pt" id="M130" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -11.5914 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454 210C454 314 380 397 272 397C252 397 230 390 208 380L141 347ZM231 338C323 338 366 257 366 174C366 108 340 27 263 27C180 27 129 123 129 244C129 268 130 292 135 310C158 323 193 338 231 338Z"></path></g></svg></td></tr><tr class="table-tr"><td colspan="3"><hr class="tbody-hr"/></td></tr></table></td></tr></table>

<div>Ljung–Box [<a href="/journals/complexity/2022/9838850/#B54" target="_blank">54</a>] results.</div>

Complexity

A Composite Index for Measuring Stock Market Inefficiency

Table 1