The informational efficiency: the emerging markets versus the developed markets

Abstract

The purpose of the article is to study the difference between the informational efficiency levels between the emerging and developed markets. We applied the symbolic time series analysis approach and the Shannon entropy in order to measure and rank the informational efficiency of 20 stock markets from 1 July 1997 to 14 December 2007. Three Asian markets take the first positions as the most efficient (Taiwan, Japan and Singapore). The last positions are taken by the ex-socialist countries as the most inefficient markets. The latter could be due to the lack of experience of these markets.