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Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation

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  • Mohamed CHIKHI
  • Claude DIEBOLT

Abstract

In this paper, we consider the daily Xtrackers CAC 40 UCITS from 2009 to 2020 for the analysis as it is supposed to capture more information compared to other French stock markets. After application of different statistical tests including BDS test, Hinich bispectrum test, Tsay test for linearity, long memory test and automatic serial correlation tests, we try to test the weak form efficiency of French ETF market through a logistic smooth transition AR model with nonlinear asymmetric logistic smooth transition GARCH errors using semiparametric maximum likelihood where the innovation distribution is replaced by a nonparametric estimate based on the kernel density function. After analyzing the forecasting results, we show that the price fluctuations appear as the result of transitory shocks and the predictions provided by the LSTAR-ANSTGARCH model are better than those of other models for some time horizons. The predictions from this model are also better than those of the random walk model; accordingly, the XCAC 40 price is not weak form of efficient market for the entire period because its successive return are nonlinearly dependent and doesn't generate randomly.

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  • Mohamed CHIKHI & Claude DIEBOLT, 2021. "Testing The Weak Form Efficiency Of The French Etf Market With Lstar-Anlstgarch Approach Using A Semiparametric Estimation," Working Papers of BETA 2021-36, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    • Handle: RePEc:ulp:sbbeta:2021-36
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    1. Mohamed CHIKHI & Claude DIEBOLT, 2022. "Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 13, pages 228-253, June.

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    More about this item

    Keywords

    LSTAR model; ANLSTGARCH model; semiparametric maximum likelihood; nonlinearity; informational shocks; kernel; bandwidth; market efficiency.;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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