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Weak- Form Efficiency in the German Stock Market

Listed author(s):
  • Shahram Fattahi

    (Department of Economics, Razi University)

  • Omid Ranjbar

    (Expert of Economic Studies - Iran Ministry of Commerce)

Registered author(s):

    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..

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    Article provided by Economics faculty of Tehran university in its journal Iranian Economic Review.

    Volume (Year): 15 (2010)
    Issue (Month): 3 (fall)
    Pages: 77-94

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    Handle: RePEc:eut:journl:v:15:y:2010:i:3:p:77
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    1. 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.
    2. Arusha Cooray, 2004. "The Random Walk Behaviour Of Stock Prices: A Comparative Study," Econometric Society 2004 Far Eastern Meetings 540, Econometric Society.
    3. 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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