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Impact de l'intervalle d'échantillonnage sur les tests d'efficience : application au marché français des actions

Author

Listed:
  • Hervé Alexandre

    (LATEC - Laboratoire d'Analyse et de Techniques Economiques [UMR 5601] - UB - Université de Bourgogne - CNRS - Centre National de la Recherche Scientifique)

  • Kamil Cem Ertur

    (LATEC - Laboratoire d'Analyse et de Techniques Economiques [UMR 5601] - UB - Université de Bourgogne - CNRS - Centre National de la Recherche Scientifique)

Abstract

Efficiency of financial markets is one of the most studied subject in theoretical finance. Formalization of this idea is realised by the random walk model. Numerous tests have been developped to validate the hypothesis of identically and independantly distributed innovations. But the results of empirical works are not unanimous ; the acceptation of the random walk is not systematic and depend too much on sample features. This constatation leads us to study the impact of the sample frequency on empirical results by distinguishing two different methodologies of tests : the first one is based on unit root (DICKEY et FULLER 1979, 1981) and the other one on variance ratio (LO et MACKINLAY 1988). The question is the following : rejection or acceptation of the null hypothesis of random walk depend on the sample frequency and/or on the methodology of test ?

Suggested Citation

  • Hervé Alexandre & Kamil Cem Ertur, 1994. "Impact de l'intervalle d'échantillonnage sur les tests d'efficience : application au marché français des actions," Working Papers hal-01526523, HAL.
    • Handle: RePEc:hal:wpaper:hal-01526523
    Note: View the original document on HAL open archive server: https://hal.science/hal-01526523
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