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test of market efficiency using ARCH models

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Date Issued:
1996
Summary:
The purpose of this thesis is to examine the efficient market hypothesis (EMH) employing an ARCH model proposed by Engle (1982). The relations of the US stock market and other five major stock markets, i.e., the Canadian, French, German, Japanese, and UK markets are investigated. The time series used in this study are monthly stock price and dividend indices for the above six stock markets. The data cover the period from January 1970 to March 1991. In this study I utilize the ARCH model which appears to be very powerful in modeling conditional heteroscedasticity of stock prices. My test results provide unambiguous evidence of significant ARCH effects existing between the six national stock markets. Therefore, this study demonstrates the existence of market inefficiency for these national markets.
Title: A test of market efficiency using ARCH models.
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Name(s): Tan, Feifei., Creator
Florida Atlantic University, Degree Grantor
Yuhn, Ky-hyang, Thesis Advisor
Type of Resource: text
Genre: Electronic Thesis Or Dissertation
Date Issued: 1996
Publisher: Florida Atlantic University
Place of Publication: Boca Raton, Fla.
Physical Form: pdf
Extent: 57 p.
Language(s): English
Summary: The purpose of this thesis is to examine the efficient market hypothesis (EMH) employing an ARCH model proposed by Engle (1982). The relations of the US stock market and other five major stock markets, i.e., the Canadian, French, German, Japanese, and UK markets are investigated. The time series used in this study are monthly stock price and dividend indices for the above six stock markets. The data cover the period from January 1970 to March 1991. In this study I utilize the ARCH model which appears to be very powerful in modeling conditional heteroscedasticity of stock prices. My test results provide unambiguous evidence of significant ARCH effects existing between the six national stock markets. Therefore, this study demonstrates the existence of market inefficiency for these national markets.
Identifier: 9780591161519 (isbn), 15349 (digitool), FADT15349 (IID), fau:12117 (fedora)
Note(s): College of Business
Thesis (M.A.)--Florida Atlantic University, 1996.
Subject(s): Futures Market
Stock Exchanges--Econometric Models
Held by: Florida Atlantic University Libraries
Persistent Link to This Record: http://purl.flvc.org/fcla/dt/15349
Sublocation: Digital Library
Use and Reproduction: Copyright © is held by the author with permission granted to Florida Atlantic University to digitize, archive and distribute this item for non-profit research and educational purposes. Any reuse of this item in excess of fair use or other copyright exemptions requires permission of the copyright holder.
Use and Reproduction: http://rightsstatements.org/vocab/InC/1.0/
Host Institution: FAU
Is Part of Series: Florida Atlantic University Digital Library Collections.