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Market Efficiency within the German Stock Market: A Comparative Study of the Relative Efficiencies of the DAX, MDAX, SDAX and ASE Indices

Author

Listed:
  • Admin Starcevic

    () (Coventry Business School)

  • Timothy Rodgers

    () (Coventry Business School)

Abstract

It can be implied from the efficient market hypothesis that the more transparent a market is, then the more likely that the market will be efficient. This paper is a study of whether the different transparency standards applied to the different indices quoted on the German stock market have any impact on their relative efficiencies. It is found that the differences in transparency standards do have an impact on market efficiency. The case for a higher level of market efficiency in respect to Prime Standard index stocks is reinforced by the additional finding that calendar anomaly effects appear to have only limited statistical significance.

Suggested Citation

  • Admin Starcevic & Timothy Rodgers, 2011. "Market Efficiency within the German Stock Market: A Comparative Study of the Relative Efficiencies of the DAX, MDAX, SDAX and ASE Indices," International Econometric Review (IER), Econometric Research Association, vol. 3(1), pages 25-37, April.
  • Handle: RePEc:erh:journl:v:3:y:2011:i:1:p:25-37
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    File URL: http://www.era.org.tr/makaleler/1120029.pdf
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    References listed on IDEAS

    as
    1. Chris Fawson & Terry Glover & Wenshwo Fang & Tsangyao Chang, 1996. "The weak-form efficiency of the Taiwan share market," Applied Economics Letters, Taylor & Francis Journals, vol. 3(10), pages 663-667.
    2. Cornett, Marcia Millon & Schwarz, Thomas V. & Szakmary, Andrew C., 1995. "Seasonalities and intraday return patterns in the foreign currency futures market," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 843-869, August.
    3. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter.
    4. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    5. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Market Efficiency; Calendar Anomalies; DAX; Transparency Requirements;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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