EconStor >
Institut für Wirtschaftsforschung Halle (IWH) >
IWH-Diskussionspapiere, Institut für Wirtschaftsforschung Halle (IWH) >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/23730
  
Title:Are European Equity Style Indexes Mean Reverting? : Testing the Validity of the Efficient Market Hypothesis PDF Logo
Authors:Berneburg, Marian
Issue Date:2004
Series/Report no.:Diskussionspapiere / Institut für Wirtschaftsforschung Halle 193
Abstract:The article tests for a random walk in European equity style indexes. After briefly introducing the efficient market hypothesis, equity styles in general and the used statistical techniques (Variance Ratio Test and modified Rescaled Range Test) it is shown that a random walk in European equity style indexes cannot be rejected. At least in the period since the mid 70s, for which this research has been conducted, the weak form efficient market hypothesis seems to hold.
Subjects:Efficient Market Hypothesis
Variance Ratio Test
Rescaled Range Test
Equity Style Investment
JEL:G11
G14
Persistent Identifier of the first edition:urn:nbn:de:gbv:3:2-5101
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des IWH
IWH-Diskussionspapiere, Institut für Wirtschaftsforschung Halle (IWH)

Files in This Item:
File Description SizeFormat
193.pdf202.77 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/23730

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.