Testing the bivariate mixture hypothesis using German Stock market data

Testing the bivariate mixture hypothesis using German stock market data

According to the bivariate mixture hypothesis (BMH) as proposed by Tauchen and Pitts (1983) and Harris (1986,1987) the daily price changes and the corresponding trading volume on speculative markets follow a joint mixture of distributions with the unobservable number of daily information events serving as the mixing variable. Using German stock market data of 15 major companies the distribution...

Weak-Form Efficiency In The German Stock Market

Testing on Weak Form Market Efficiency Hypothesis: The Evidence from Dhaka Stock Market Year 2004-2012

The purpose of this study is to test The Weak Form Efficient Market Hypothesis in Dhaka’s Stock Market. The study examined the distribution of equity returns by dividing the sample period into two sub periods of daily DSE General Index (DGEN) and sub periods are sample-1(2004-2007), and sample-2 (2008-2012). Also, monthly general index starting from 1990 to 2012 are taken as sample to test the ...

LINEAR HYPOTHESIS TESTING USING DLR METRIC

Several practical problems of hypotheses testing can be under a general linear model analysis of variance which would be examined. In analysis of variance, when the response random variable Y , has linear relationship with several random variables X, another important model as analysis of covariance can be used. In this paper, assuming that Y is fuzzy and using DLR metric, a method for testing ...

Weekday Dependence of German Stock Market

The so{called`Monday eeect' has been found for various stock markets of the world. The empirical nding that Monday returns are signiicantly smaller than returns measured for the remaining days of the week calls the eeciency hypothesis for pricing processes operating on stock markets into question. Investigating an index series measured at the Frankfurt stock exchange the paper compares estimati...