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In this paper, following both the adaptive market hypothesis (AMH) and the fractal market hypothesis (FMH), we develop a new time\u2010varying measure of stock market inefficiency. The proposed measure, called composite efficiency index (CEI), is estimated as the synthesis of the most common efficiency measures such as the returns\u2019 autocorrelation, liquidity, volatility, and a new measure based on the Hurst exponent, called the Hurst efficiency index (HEI). To empirically validate the indicator, we compare different European stock markets in terms of efficiency over time.<\/jats:p>","DOI":"10.1155\/2022\/9838850","type":"journal-article","created":{"date-parts":[[2022,1,24]],"date-time":"2022-01-24T14:05:06Z","timestamp":1643033106000},"update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":15,"title":["A Composite Index for Measuring Stock Market Inefficiency"],"prefix":"10.1155","volume":"2022","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-8770-7049","authenticated-orcid":false,"given":"Raffaele","family":"Mattera","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-4484-1445","authenticated-orcid":false,"given":"Fabrizio","family":"Di Sciorio","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-5017-2615","authenticated-orcid":false,"given":"Juan E.","family":"Trinidad-Segovia","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2022,1,24]]},"reference":[{"key":"e_1_2_10_1_2","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1970.tb00518.x"},{"key":"e_1_2_10_2_2","volume-title":"Empirical Properties of Asset Returns: Stylized Facts and Statistical Issues","author":"Cont R.","year":"2001"},{"key":"e_1_2_10_3_2","doi-asserted-by":"publisher","DOI":"10.1016\/s0960-0779(98)00295-1"},{"key":"e_1_2_10_4_2","first-page":"21","article-title":"Reconciling efficient markets with behavioral finance: the adaptive markets hypothesis","volume":"7","author":"Lo A. 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