Title: Testing efficiency of stock markets and their implications for predictability of stock returns
Language: English
Authors: Gharaati, Shahabeddin 
Qualification level: Diploma
Advisor: Sögner, Leopold 
Issue Date: 2017
Number of Pages: 25
Qualification level: Diploma
Abstract: 
The purpose of this paper is testing eciency of the Germany and UK stock mar- ket. German DAX and FTSE 100 stock market data show that the stock returns tend to have a leptokurtic probability distribution rather than normal distribution. Moreover, the stock returns rst and second serial correlation tends to increase dur- ing the crisis which implies that when the market is not ecient the predictability of stock return increase, and investors get the opportunities to gain pro ts. Applying a test proposed by Gibbons et al. (1989) on all assets of Germany DAX with 110 months return data over the period August 1999 to April 2017 shows that the null hypothesis of eciency is rejected at the periods of the crisis. Furthermore, there is a weak positive correlation between a twelve-month moving average P-Values of the test and excess returns of long/short equity strategies over the period of January of 2006 to December of 2011. On the other hand, Applying a test proposed by Pesaran and Yamagata (2012) on all assets of FTSE 100 with 60 months return data over the period February 2000 to April 2017 shows that the null hypothesis of eciency rejected at the periods of the crisis. Furthermore, there is a weak positive correlation between a twelve-month moving average P-Values of both tests and excess returns of long/short equity strategies over the period of January of 2001 to December of 2006.
Keywords: Efficient Market Hypothesis; Predictability of stock markets; long; short equity strategies; moving average P-Values; German DAX; FTSE 100; leptokurtic distribution
URI: https://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-100570
http://hdl.handle.net/20.500.12708/6833
Library ID: AC13738113
Organisation: E017 - Continuing Education Center 
Publication Type: Thesis
Hochschulschrift
Appears in Collections:Thesis

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