Since 2014
Does the Federal Constitutional Court Ruling Mean the German Financial Market is Efficient?
European Journal of Business Science and Technology
View Archive Info| Field | Value | |
| Title |
Does the Federal Constitutional Court Ruling Mean the German Financial Market is Efficient?
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| Creator |
Fakhry, Bachar
Richter, Christian |
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| Description |
Following the landmark ruling by the German Federal Constitutional Court in Karlsruhe on 7th February 2014 in which they endorsed the efficient market hypothesis, we present evidence on the efficiency of the German financial market. Introducing a new variance bound test based on the Component-GARCH model of volatility to analyse the long- and short-runs effects on the efficiency of the German financial market, we test the price volatility of three markets: DAX stock index, German sovereign debt index as provided by Barclays and Bloomberg, Euro gold index by the World Gold Council and Euro currency index by the Bank of England. The results seem to be indicating a relatively strong acceptance of the efficient market hypothesis in both the short and long runs in all the observed financial markets.
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| Publisher |
Mendel University in Brno
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| Date |
2018-12-28
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
https://journal.ejobsat.cz/index.php/ejobsat/article/view/120
10.11118/ejobsat.v4i2.120 |
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| Source |
European Journal of Business Science and Technology; Vol 4 No 2 (2018); pp. 111–125
2694-7161 2336-6494 |
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| Language |
eng
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| Relation |
https://journal.ejobsat.cz/index.php/ejobsat/article/view/120/158
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| Rights |
Copyright (c) 2018 Bachar Fakhry, Christian Richter
http://creativecommons.org/licenses/by-sa/4.0 |
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