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Kapitalmarkteffizienz und Verteilung von Aktienrenditen: eine empirische Untersuchung

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  • Gerth, Hendrik
  • Niermann, Stefan

Abstract

In this paper the efficient market hypothesis in its weak form and the existence of a Monday effect is examined for German stock returns. Using the first order autocorrelation coeffients, a method is developed to test for the existence of finite moments for daily returns. Therefore, simulations are carried out to investigate the probability of a Type II error.

Suggested Citation

  • Gerth, Hendrik & Niermann, Stefan, 2001. "Kapitalmarkteffizienz und Verteilung von Aktienrenditen: eine empirische Untersuchung," Hannover Economic Papers (HEP) dp-246, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    • Handle: RePEc:han:dpaper:dp-246
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    File URL: http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-246.pdf
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    References listed on IDEAS

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    1. Schiereck, D. & Weber, M., 1995. "Zyklische und antizyklische Handelsstrategien am deutschen Aktienmarkt," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 35478, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
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    More about this item

    Keywords

    Kapitalmarkteffizienz; Montagseffekt;

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