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Prévisibilité des rentabilités boursières. Une étude empirique du marché boursier français sur données intraquotidiennes

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  • Christine Stachowiak

Abstract

The aim of this paper is to analyse the weak-form efficiency of the French stock market, by examining whether past returns make it possible to determine future returns, taking the period from January 1999 to December 2000. Wetherefore concentrate on using intradaydata for an empirical examinationof whetherthereturnson stocks intheCAC40and MIDCAC areauto-correlated. Three tests are applied: the Box-Pierce and heteroscedasticity-adjusted Box-Pierce test, the runs test and the variance-ratio test. Our results show that it is impossible to predict future returns from past returns, which is consistent with the weak-form market efficiency hypothesis.

Suggested Citation

  • Christine Stachowiak, 2004. "Prévisibilité des rentabilités boursières. Une étude empirique du marché boursier français sur données intraquotidiennes," Economie & Prévision, La Documentation Française, vol. 166(5), pages 71-85.
    • Handle: RePEc:cai:ecoldc:ecop_166_0071
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    Cited by:

    1. Boya, Christophe M., 2019. "From efficient markets to adaptive markets: Evidence from the French stock exchange," Research in International Business and Finance, Elsevier, vol. 49(C), pages 156-165.

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