Weak- Form Efficiency in the German Stock Market
AbstractThe implications of the efficient market hypothesis are important in assessing public policy issues. This paper attempts to examine the weak-form efficiency of the DAX stock market. Five randomly chosen companies and different sub samples are used to confirm the results. The results show that the DAX stock market follows a random walk and supports the weak-form efficiency of efficient market hypothesis (EMH). However, in some models, the strict rational expectations (RE)/EMH element of ‘unpredictability’ is rejected, but not necessarily the view of EMH which emphasizes the impossibility of making supernormal profits..
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Bibliographic InfoArticle provided by Economics faculty of Tehran university in its journal Iranian Economic Review.
Volume (Year): 15 (2010)
Issue (Month): 3 (fall)
Stock market efficiency; German stock market; Variance Ratio Test; ARMA; GARCH;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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NBER Working Papers
2168, National Bureau of Economic Research, Inc.
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- Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia.
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