A more pertinent problem highlighted by Lo (2008) is that statistical tests of the EMH may not be the most informative means for gauging the effi ciency of a given market as their focus is on testing the all-or-nothing notion of absolute market effi ciency. Campbell et al. (1997), Lo (1997, 2008), and Lo and MacKinlay (1999) have repeatedly argued that perfect effi ciency is an unrealistic benchmark that is unlikely to hold in practice. Instead, these authors off er the notion of relative effi ciency, that is the effi ciency of one market measured against another, for example, the New York Stock Exchange versus the Paris Bourse, futures market versus spot market, or auction markets versus dealer markets. In other words, it is more useful to know the degree of effi ciency rather than proclaiming

whether a market is or is not effi cient. Hence, it is not surprising to learn that a er decades of empirical investigation, little is known about the differences in the degree of effi ciency across markets and what characteristics are associated with greater levels of informational effi ciency.