We introduce a novel measure to assess market inefficiency levels and examine their evolution over time using robust statistical principles. Our innovative approach not only facilitates a comprehensive exploration of market efficiency and its economic impacts but also allows for effortless comparisons across various assets, timeframes, regions, and data frequencies. Our findings reveal that during significant economic events, such as financial crises, markets tend to exhibit decreased efficiency. This research contributes to the understanding of market dynamics, offering a valuable and structured tool for analysts and policymakers.

中文翻译：

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探索市场效率水平：基于伽玛分布的强大方法


我们引入了一种新颖的措施来评估市场低效率水平，并使用稳健的统计原理检查其随时间的演变。我们的创新方法不仅有助于全面探索市场效率及其经济影响，而且还可以轻松地对各种资产、时间范围、区域和数据频率进行比较。我们的研究结果表明，在金融危机等重大经济事件期间，市场往往会表现出效率下降。这项研究有助于了解市场动态，为分析师和政策制定者提供有价值的结构化工具。