COMPARATIVE EFFICIENCY OF MARKET INDICES: AN EMPIRICAL STUDY |
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Authors: | Chi-Cheng Hsia |
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Abstract: | This study ranks eight widely used market indices using two mean-variance efficiency scores developed from Roll's geometric representation of the Shanken's CRS T2 test statistic and the likelihood ratio test statistic of Kandel. The results indicate that, over the period of 1973–1982, the CRSP equally weighted, CRSP value weighted, and S&P 500 emerge consistently as the three most efficient indices under all market conditions. |
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