文章基本信息

标题：Validity of Weak Form Efficiency in European Stock Market
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作者：Rekha Gupta
期刊名称：Journal of Business & Financial Affairs
电子版ISSN：2167-0234
出版年度：2017
卷号：6
期号：1
页码：1-10
DOI：10.4172/2167-0234.1000250
语种：English
出版社：OMICS International
摘要：In this paper weak form efficiency is tested in ten European country indices. For this purpose Run test and Autocorrelation test are used. Run test clearly supported the dependent behavior of majority of countries. Run test has inherent weakness as only sign are conceded not how much amount of increase or decrease. The coefficients are obtained for 1-16 time lags to examine results for varying periodicity. Serial correlation coefficient statistics indicates the majority of indices are not in weak form efficiency. This study also shows that significant auto correlations are converted into insignificant with increases time lags.
关键词：Run test; Serial correlation coefficient; Weak form efficiency