An Empirical Test of German Stock Market Efficiency
An Empirical Test of German Stock Market Efficiency
A Master Thesis submitted by Lindsay Gillette (188816) to Prof. Dr. Wolfgang Härdle in partial fulfillment of the requirements for the degree of Master of Science
C.A.S.E. – Center for Applied Statistics and Economics Institute for Statistics and Econometrics Humboldt-Universität zu Berlin
Berlin, Germany September 13, 2005
II
Declaration of Authorship
I hereby confirm that I have authored this master thesis independently and without use of other than the indicated resources. All passages, which are literally or in general matter taken out of publications or other resources, are marked as such.
Lindsay Gillette September 13, 2005
III
Acknowledgement
I would first like to thank Prof. Dr. Wolfgang Härdle for giving me the opportunity to write this thesis as well as for his stimulating Statistics of Financial Markets course. I would also like to express my appreciation to the Quantitative Research Group of Bankgesellschaft Berlin for allowing me to perform the entirety of the research and writing required for this thesis in their office. Particularly, I would like to extend my sincerest gratitude to Peter Schmidt who offered his expertise and guidance on a daily basis. Furthermore, I would like to thank Dietmar Hillebrand for his feedback and insightful suggestions. Last but not least, I am extremely thankful to have such a wonderful family, thoughtful friends and a loving mother who have provided me with warm support and who have been nothing but encouraging and understanding throughout this experience.
IV
Table of Contents
List of Figures........................................................................................................... V List of Tables ........................................................................................................... VI Notation
A Master Thesis submitted by Lindsay Gillette (188816) to Prof. Dr. Wolfgang Härdle in partial fulfillment of the requirements for the degree of Master of Science
C.A.S.E. – Center for Applied Statistics and Economics Institute for Statistics and Econometrics Humboldt-Universität zu Berlin
Berlin, Germany September 13, 2005
II
Declaration of Authorship
I hereby confirm that I have authored this master thesis independently and without use of other than the indicated resources. All passages, which are literally or in general matter taken out of publications or other resources, are marked as such.
Lindsay Gillette September 13, 2005
III
Acknowledgement
I would first like to thank Prof. Dr. Wolfgang Härdle for giving me the opportunity to write this thesis as well as for his stimulating Statistics of Financial Markets course. I would also like to express my appreciation to the Quantitative Research Group of Bankgesellschaft Berlin for allowing me to perform the entirety of the research and writing required for this thesis in their office. Particularly, I would like to extend my sincerest gratitude to Peter Schmidt who offered his expertise and guidance on a daily basis. Furthermore, I would like to thank Dietmar Hillebrand for his feedback and insightful suggestions. Last but not least, I am extremely thankful to have such a wonderful family, thoughtful friends and a loving mother who have provided me with warm support and who have been nothing but encouraging and understanding throughout this experience.
IV
Table of Contents
List of Figures........................................................................................................... V List of Tables ........................................................................................................... VI Notation
References: 70 ROSS, S. (1976). “The Arbitrage Theory of Capital Asset Pricing”, Journal of Economic Theory, 13: 341–360. ROUWENHORST, K. GEERT. (1998). “International Momentum Strategies”, Journal of Finance, 53(1): 267–284. SAMUELSON, PAUL III (1965). “Proof that Properly Anticipated Prices Fluctuate Randomly”, Industrial Management Review, 6: 41-49. SCHIERECK, DIRK, WERNER DE BONDT, and MARTIN WEBER (1999). "Contrarian and Momentum Strategies in Germany," Financial Analysts Journal, 55(6): 104116. SCHWERT, G. WILLIAM (2003). "Anomalies and Market Efficiency," Handbook of the Economics of Finance, eds. George Constantinides, Milton Harris, and René Stulz, North-Holland: 937-972. SHARPE, W. (1964). “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk”, Journal of Finance, 19: 425-442.