Open AccessTests of the Efficient Markets Hypothesis
Author(s) -
Erhard Reschenhofer,
Michael A. Hauser
Publication year - 2016
Publication title -
austrian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.342
H-Index - 9
ISSN - 1026-597X
DOI - 10.17713/ajs.v26i1.541
Subject(s) - predictability , efficient market hypothesis , statistical hypothesis testing , econometrics , series (stratigraphy) , stock (firearms) , computer science , data mining , statistics , economics , mathematics , stock market , engineering , geography , context (archaeology) , biology , paleontology , archaeology , mechanical engineering
This paper surveys various statistical methods that have been proposed for the examination of the efficiency of financial markets and proposes a novel procedure for testing the predictability of a time series. For illustration, this procedure is applied to Austrian stock return series.
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