Weak- Form Efficiency in the German Stock Market

Shahram Fattahi and Omid Ranjbar
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Shahram Fattahi: Department of Economics, Razi University
Omid Ranjbar: Expert of Economic Studies - Iran Ministry of Commerce

Iranian Economic Review (IER), 2010, vol. 15, issue 3, 77-94

Abstract: The implications of the efficient market hypothesis are important in assessing public policy issues. This paper attempts to examine the weak-form efficiency of the DAX stock market. Five randomly chosen companies and different sub samples are used to confirm the results. The results 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..

Keywords: Stock market efficiency; German stock market; Variance Ratio Test; ARMA; GARCH (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eut:journl:v:15:y:2010:i:3:p:77

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