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Efficiency of Financial Markets in Post-QE Environment

Student: Blinov Fedor

Supervisor: Dmitriy Alexandrovich Kachalov

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2021

This paper aims at quantifying the evolution of informational market efficiency in the framework of “Adaptive” market hypothesis. The paper employs modified conventional tests for EMH as well as entropy-based and multifractal analysis. Analysis of market efficiency with structural brakes is carried out on the basis of 3 relative efficiency indices constructed through wild bootstrap procedure applied to AVR and Chow-Denning tests and employing the properties of approximate entropy as a measure of time series complexity. In addition, market efficiency is examined through multifractal detrended fluctuation analysis (MF-DFA). The results confirm the adaptive nature of market efficiency as well as point at a relative decrease in efficiency in the last decade. Based on the constructed metrics study concludes that market efficiency has not fully overcome repercussions of 2008 financial crisis.

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