Evolution of stock market efficiency in Europe: Evidence from measuring periods of inefficiency

This study introduces novel measures to quantify periods of market inefficiency, enabling precise analysis of their evolution over time and effective comparisons across markets or groups of markets. These measures are applied to an extensive dataset comprising stock indices from 25 European countries from 2007 to 2022. The empirical findings reveal a 20% increase in market inefficiency across Europe, primarily driven by heightened average inefficiencies in the stock markets of the group of developed European countries such as Germany and the Scandinavian countries.