Are European Equity Style Indexes Mean Reverting? Testing the Validity of the Efficient Market Hypothesis
No 193, IWH Discussion Papers from Halle Institute for Economic Research
The article tests for a random walk in European equity style indexes. After briefly introducing the efficient market hypothesis, equity styles in general and the used statistical techniques (Variance Ratio Test and modified Rescaled Range Test) it is shown that a random walk in European equity style indexes cannot be rejected. At least in the period since the mid 70s, for which this research has been conducted, the weak form efficient market hypothesis seems to hold.
Keywords: efficient market hypothesis; variance ratio test; rescaled range test; equity style investment (search for similar items in EconPapers)
JEL-codes: G14 G11 (search for similar items in EconPapers)
References: Add references at CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:iwh:dispap:193
Access Statistics for this paper
More papers in IWH Discussion Papers from Halle Institute for Economic Research
Contact information at EDIRC.
Series data maintained by Hubert Gabrisch ().