Weak- Form Efficiency in the German Stock Market
The 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..
Volume (Year): 15 (2010)
Issue (Month): 3 (fall)
|Contact details of provider:|| Postal: |
Web page: http://economics.ut.ac.ir/
More information through EDIRC
References listed on IDEAS
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.:
- Andrew W. Lo, A. Craig MacKinlay, 1988.
"Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test,"
Review of Financial Studies,
Society for Financial Studies, vol. 1(1), pages 41-66.
- Andrew W. Lo & A. Craig MacKinlay, 1987. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc.
- Tom Doan, . "VRATIO: RATS procedure to implement variance ratio unit root test procedure," Statistical Software Components RTS00231, Boston College Department of Economics.
- Arusha Cooray, 2004. "The Random Walk Behaviour Of Stock Prices: A Comparative Study," Econometric Society 2004 Far Eastern Meetings 540, Econometric Society.
- Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia.
When requesting a correction, please mention this item's handle: RePEc:eut:journl:v:15:y:2010:i:3:p:77. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ([z.rahimalipour])
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.