IDEAS home Printed from https://ideas.repec.org/a/erh/journl/v3y2011i1p25-37.html
   My bibliography  Save this article

Market Efficiency within the German Stock Market: A Comparative Study of the Relative Efficiencies of the DAX, MDAX, SDAX and ASE Indices

Author

Listed:
  • Admin Starcevic

    (Coventry Business School)

  • Timothy Rodgers

    (Coventry Business School)

Abstract

It can be implied from the efficient market hypothesis that the more transparent a market is, then the more likely that the market will be efficient. This paper is a study of whether the different transparency standards applied to the different indices quoted on the German stock market have any impact on their relative efficiencies. It is found that the differences in transparency standards do have an impact on market efficiency. The case for a higher level of market efficiency in respect to Prime Standard index stocks is reinforced by the additional finding that calendar anomaly effects appear to have only limited statistical significance.

Suggested Citation

  • Admin Starcevic & Timothy Rodgers, 2011. "Market Efficiency within the German Stock Market: A Comparative Study of the Relative Efficiencies of the DAX, MDAX, SDAX and ASE Indices," International Econometric Review (IER), Econometric Research Association, vol. 3(1), pages 25-37, April.
    • Handle: RePEc:erh:journl:v:3:y:2011:i:1:p:25-37
    as

    Download full text from publisher

    File URL: http://www.era.org.tr/makaleler/1120029.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Chris Fawson & Terry Glover & Wenshwo Fang & Tsangyao Chang, 1996. "The weak-form efficiency of the Taiwan share market," Applied Economics Letters, Taylor & Francis Journals, vol. 3(10), pages 663-667.
    2. Cornett, Marcia Millon & Schwarz, Thomas V. & Szakmary, Andrew C., 1995. "Seasonalities and intraday return patterns in the foreign currency futures market," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 843-869, August.
    3. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Journal of Economic Perspectives, American Economic Association, vol. 17(1), pages 59-82, Winter.
    4. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Working Papers 111, Princeton University, Department of Economics, Center for Economic Policy Studies..
    5. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    6. Burton G. Malkiel, 2003. "The Efficient Market Hypothesis and Its Critics," Working Papers 111, Princeton University, Department of Economics, Center for Economic Policy Studies..
    7. repec:pri:cepsud:91malkiel is not listed on IDEAS
    8. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Samuel Tabot Enow, 2021. "The Impact of Covid-19 on Market Efficiency: A Comparative Market Analysis," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 9(4), pages 235-244.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Taufiq Choudhry & Ranadeva Jayasekera, 2015. "Level of efficiency in the UK equity market: empirical study of the effects of the global financial crisis," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 213-242, February.
    2. Ziliotto, Arianna & Serati, Massimiliano, 2015. "The semi-strong efficiency debate: In search of a new testing framework," Research in International Business and Finance, Elsevier, vol. 34(C), pages 412-438.
    3. Brice Corgnet & Cary Deck & Mark DeSantis & David Porter, 2022. "Forecasting Skills in Experimental Markets: Illusion or Reality?," Management Science, INFORMS, vol. 68(7), pages 5216-5232, July.
    4. Rompotis, Gerasimos G., 2011. "Testing weak-form efficiency of exchange traded funds market," MPRA Paper 36020, University Library of Munich, Germany.
    5. Roland Rothenstein, 2018. "Quantification of market efficiency based on informational-entropy," Papers 1812.02371, arXiv.org.
    6. Kristoufek, Ladislav, 2018. "Fractality in market risk structure: Dow Jones Industrial components case," Chaos, Solitons & Fractals, Elsevier, vol. 110(C), pages 69-75.
    7. Røed Larsen, Erling & Weum, Steffen, 2008. "Testing the efficiency of the Norwegian housing market," Journal of Urban Economics, Elsevier, vol. 64(2), pages 510-517, September.
    8. Qianwei Ying & Tahir Yousaf & Qurat ul Ain & Yasmeen Akhtar & Muhammad Shahid Rasheed, 2019. "Stock Investment and Excess Returns: A Critical Review in the Light of the Efficient Market Hypothesis," JRFM, MDPI, vol. 12(2), pages 1-22, June.
    9. Kamal, Mona, 2014. "Studying the Validity of the Efficient Market Hypothesis (EMH) in the Egyptian Exchange (EGX) after the 25th of January Revolution," MPRA Paper 54708, University Library of Munich, Germany.
    10. Elzbieta Kacperska & Jakub Kraciuk, 2021. "The Effect of COVID-19 Pandemic on the Stock Market of Agri-food Companies in Poland," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 3), pages 274-290.
    11. Ushna Akber & Nabeel Muhammad, 2014. "Is Pakistan Stock Market Moving towards Weak-Form Efficiency? Evidence from The Karachi Stock Exchange and the Random Walk Nature of Free-Float of Shares of KSE 30 Index," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(6), pages 808-836, June.
    12. Akber, Ushna & Muhammad, Nabeel, 2013. "Is Pakistan Stock Market moving towards Weak-form efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of free-float of shares of KSE 30 Index," MPRA Paper 49128, University Library of Munich, Germany.
    13. Daniele SCHILIRÒ, 2013. "Bounded Rationality: Psychology, Economics And The Financial Crises," Theoretical and Practical Research in the Economic Fields, ASERS Publishing, vol. 4(1), pages 97-108.
    14. Kristoufek, Ladislav & Vosvrda, Miloslav, 2016. "Gold, currencies and market efficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 27-34.
    15. Kristoufek, Ladislav & Vosvrda, Miloslav, 2014. "Commodity futures and market efficiency," Energy Economics, Elsevier, vol. 42(C), pages 50-57.
    16. Kristoufek, Ladislav & Vošvrda, Miloslav S., 2016. "Herding, minority game, market clearing and efficient markets in a simple spin model framework," FinMaP-Working Papers 68, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    17. Firat Melih Yilmaz & Engin Yildiztepe, 2024. "Statistical Evaluation of Deep Learning Models for Stock Return Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 221-244, January.
    18. Nunes, Mauro Fracarolli, 2018. "Supply chain contamination: An exploratory approach on the collateral effects of negative corporate events," European Management Journal, Elsevier, vol. 36(4), pages 573-587.
    19. Sushil Bajaj & Naman Sethi, 2016. "An Empirical Analysis of Behaviour of Stock Market Indices," Paradigm, , vol. 20(2), pages 216-235, December.
    20. Marianna Brunetti & Roberta De Luca, 2023. "Pairs trading in the index options market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(1), pages 145-173, March.

    More about this item

    Keywords

    Market Efficiency; Calendar Anomalies; DAX; Transparency Requirements;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:erh:journl:v:3:y:2011:i:1:p:25-37. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: M. F. Cosar (email available below). General contact details of provider: https://edirc.repec.org/data/eratrea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.