Comparative efficiency of market indices: an empirical study

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.