A Composite Index for Measuring Stock Market Inefficiency

Table 3

Out-of-sample forecasting accuracy results.

Market	MSfE (16)	MSfE (15)	value [60]	value [61]
AEX	0.000113	0.000224	4.9193	2.296
ATX	0.000363	0.000698	2.7894	0.0002241
BEL20	0.000144	0.000272	1.8871	2.191
CAC40	0.000142	0.000277	6.2007	1.256
DAX30	0.000195	0.000406	2.9687	2.819
IBEX35	0.000201	0.000416	4.3183	5.155
PSI20	0.000141	0.000277	3.3021	8.479
SMI	0.000088	0.000182	1.5224	1.336