چکیده:
he implications of the efficient market hypothesis are important in assessing public policy issues. This paper attempts to examine theweak-form efficiency of the DAX stock market. Five randomly chosen companies and different sub samples are used to confirm the results. Theresults 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.
خلاصه ماشینی:
Theresults show that the DAX stock market follows a random walk and supports the weak-form efficiency of efficient market hypothesis (EMH).
Fortune presents an interesting statistical analysis of the random walk hypothesis of stock prices (a moving-average model of returns) using over 2700 daily observations on the S&P 500 share index.
The regression tests vary, depending on the information assumed which is usually of the following type: a) data on past returns Rt-j (j= 0,1,2,…,m) – that is, weak form efficiency, b) data on scale variables such as the dividend price ratio, the earning price ratio or interest rates at time t or earlier, c) data on past forecast errors ε t-j, (j=0,1,2,…,m).
Consider, for example, the ARMA (1, 1) model: Rt+1 = k+ γ1 Rt + ε t+1 + γ2 ε t (11) In order to test weak form efficiency, the autocorrelation coefficients between Rt+1 and Rt-j (j=0,1,…,m) can be examined to see if they are non- zero.
(Ko and Lee, 1991) 3-2- Empirical Results 3-2-1- Auto-Correlation Test and Q-Statistic The most obvious test for the weak form of the random walk hypothesis is to directly test the null hypothesis that the autocorrelation coefficients of the returns are zero.
Also, the results from calculating a heteroscedastic-consistent statistic shows that Z*(q) is not significant, confirming that the DAX stock market follow a random walk.
4- Conclusions The results of autocorrelation, variance ratio and autoregressive tests show that the DAX stock market follows a random walk and supports the weak-form efficiency of efficient market hypothesis (EMH).