Does the Federal Constitutional Court Ruling mean the German Financial Market is Efficient?
Bachar Fakhry () and
Christian Richter ()
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Bachar Fakhry: School of Accountancy & Finance, The University of Lahore
No 46, Working Papers from The German University in Cairo, Faculty of Management Technology
Following the landmark ruling by the German Federal Constitutional Court in Karlsruhe on 7th February 2014 in which they endorsed the efficient market hypothesis, we present evidence on the efficiency of the German financial market. Introducing a new variance bound test based on the Component GARCH model of volatility to analyse the long- and short-runs effects on the efficiency of the German financial market, we test the price volatility of three markets: DAX stock index, German sovereign debt index as provided by Barclays and Bloomberg, Euro gold index by the World Gold Council and Euro currency index by the Bank of England. The results seem to be indicating a relatively strong acceptance of the efficient market hypothesis in both the short and long runs in all the observed financial markets.
Keywords: EMH; Volatility Tests; C-GARCH-T; Financial Markets; Gold Market (search for similar items in EconPapers)
JEL-codes: B13 B21 C12 G14 G15 H63 (search for similar items in EconPapers)
Pages: 20 pages
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http://mgt.guc.edu.eg/wpapers/046Fakhry_2018.pdf First version, 2018 (application/pdf)
Journal Article: Does the Federal Constitutional Court Ruling Mean the German Financial Market is Efficient? (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:guc:wpaper:46
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