  We introduce a new measure for the capital market efficiency. The measure
takes into consideration the correlation structure of the returns (long-term
and short-term memory) and local herding behavior (fractal dimension). The
efficiency measure is taken as a distance from an ideal efficient market
situation. Methodology is applied to a portfolio of 41 stock indices. We find
that the Japanese NIKKEI is the most efficient market. From geographical point
of view, the more efficient markets are dominated by the European stock indices
and the less efficient markets cover mainly Latin America, Asia and Oceania.
The inefficiency is mainly driven by a local herding, i.e. a low fractal
dimension.
