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| Author: | Borges, M.R. |
| Title: | Efficient market hypothesis in European stock markets |
| Journal: | European Journal of Finance
2010 : OCT/DEC, VOL. 16:7-8, p. 711-726 |
| Index terms: | stock markets efficiency Europe |
| Language: | eng |
| Abstract: | Using a runs test, and joint variance ratio tests performed using daily and weekly data for the period 1993-2007 and for a subset, 2003-2007, this study reports the results of tests on the weak-form market efficiency applied to stock market indexes of the United Kingdom (U.K.), France, Germany, Spain, Greece and Portugal, from Jan. 1993 to Dec. 2007. Daily and weekly returns are not normally distributed, because they are negatively skewed and leptokurtic, and also display conditional heteroscedasticity. Overall, there is found mixed evidence on the efficient market hypothesis (EMH). |
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