Kapitalmarkteffizienz und Verteilung von Aktienrenditen: eine empirische Untersuchung

Hendrik Gerth and Stefan Niermann

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

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.

Keywords: Kapitalmarkteffizienz; Montagseffekt (search for similar items in EconPapers)
Pages: 31 pages
Date: 2001-11
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://diskussionspapiere.wiwi.uni-hannover.de/pdf_bib/dp-246.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:han:dpaper:dp-246

Access Statistics for this paper

More papers in Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Contact information at EDIRC.
Bibliographic data for series maintained by Heidrich, Christian ().