A Composite Index for Measuring Stock Market Inefficiency

Table 2

Augmented Dickey–Fuller test results.

Market	ADF statistic	value
AEX CEI	3.48	0.044
ATX CEI	−2.64	0.309
BEL20 CEI	−7.30	0.010
CAC40 CEI	−6.68	0.010
DAX30 CEI	−4.23	0.010
IBEX35 CEI	−2.42	0.399
PSI20 CEI	−2.26	0.466
SMI CEI	−4.20	0.010