6533b82cfe1ef96bd128fb9a
RESEARCH PRODUCT
Impact de l'intervalle d'échantillonnage sur les tests d'efficience : application au marché français des actions
Hervé Alexandre Kamil Cem Ertursubject
Tests de racine unitaireTests de ratio de varianceVariance ration testsEfficience[ SHS.ECO ] Humanities and Social Sciences/Economies and financesEfficiencyUnit root tests[SHS.ECO] Humanities and Social Sciences/Economics and Finance[SHS.ECO]Humanities and Social Sciences/Economics and Financedescription
Efficiency of financial markets is one of the most studied subject in theoretical finance. Formalization of this idea is realised by the random walk model. Numerous tests have been developped to validate the hypothesis of identically and independantly distributed innovations. But the results of empirical works are not unanimous ; the acceptation of the random walk is not systematic and depend too much on sample features. This constatation leads us to study the impact of the sample frequency on empirical results by distinguishing two different methodologies of tests : the first one is based on unit root (DICKEY et FULLER 1979, 1981) and the other one on variance ratio (LO et MACKINLAY 1988). The question is the following : rejection or acceptation of the null hypothesis of random walk depend on the sample frequency and/or on the methodology of test ?
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1994-01-01 |