Araştırma Makalesi

Yıl 2011,
Cilt: 3 Sayı: 1, 25 - 37, 01.04.2011
### Öz

### Kaynakça

- Cornett, M.M., T.V. Schwarz and A.C. Szakmary (1995). Seasonalities and intraday return patterns in the foreign currency futures market. Journal of Banking and Finance, 19, 843-869.
- Fama, E.F. (1991). Efficient Capital Markets: II. Journal of Finance, 46 (5), 1575-1617.
- Fama, E.F. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25 (2), 383-417.
- Fawson, C., T. Glover, W. Fang and T. Chang (1995). The weak-form efficiency of the Taiwan share market. Applied Economics Letters, 3, 663-667.
- Flanegin, F.R. and D.P. Rudd (2005). Should investments professors join the crowd. Managerial Finance, 31 (5), 28-37.
- Franses, P.H. and D. Van Dijk (2000). Nonlinear Time Series Models in Empirical Finance. Cambridge University Press.
- Glen, A. (1998). Corporate Financial Management. London: Financial Times Pitman Publishing.
- Hansen, P.R. and A. Lunde (2003). Testing the significance of calendar effects. Economics Working Paper series No. 143. University of Aarhus, Denmark.
- Malkiel, B. (2003). The Efficient Market Hypothesis and its critics. Journal of Economic Perspectives, 17, 59-82.
- Shiguang, M. (2004). The Efficiency of China’s Stock Market. Hampshire: Ashgate.
- Siegel, J.J. (2002). Stocks for the Long Run. Third Edition, New York: McGraw-Hill.
- Voit, J. (2001). The Statistical Mechanics of Financial Markets. Berlin: Springer.
- Wald, A. and J. Wolfowitz (1940). On a test whether two samples are from the same population. Annals of Mathematical Statistics, 11, 147-162.
- White, J.S. (1961). Asymptotic Expansions for the Mean and Variance of the Serial Correlation Coefficient. Biometrika, 48, 85-94.

It can be implied from the efficient market hypothesis that the more transparent a market is, then the more likely that the market will be efficient. This paper is a study of whether the different transparency standards applied to the different indices quoted on the German stock market have any impact on their relative efficiencies. It is found that the differences in transparency standards do have an impact on market efficiency. The case for a higher level of market efficiency in respect to Prime Standard index stocks is reinforced by the additional finding that calendar anomaly effects appear to have only limited statistical significance.

Market Efficiency Calendar Anomalies DAX Transparency Requirements

- Cornett, M.M., T.V. Schwarz and A.C. Szakmary (1995). Seasonalities and intraday return patterns in the foreign currency futures market. Journal of Banking and Finance, 19, 843-869.
- Fama, E.F. (1991). Efficient Capital Markets: II. Journal of Finance, 46 (5), 1575-1617.
- Fama, E.F. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25 (2), 383-417.
- Fawson, C., T. Glover, W. Fang and T. Chang (1995). The weak-form efficiency of the Taiwan share market. Applied Economics Letters, 3, 663-667.
- Flanegin, F.R. and D.P. Rudd (2005). Should investments professors join the crowd. Managerial Finance, 31 (5), 28-37.
- Franses, P.H. and D. Van Dijk (2000). Nonlinear Time Series Models in Empirical Finance. Cambridge University Press.
- Glen, A. (1998). Corporate Financial Management. London: Financial Times Pitman Publishing.
- Hansen, P.R. and A. Lunde (2003). Testing the significance of calendar effects. Economics Working Paper series No. 143. University of Aarhus, Denmark.
- Malkiel, B. (2003). The Efficient Market Hypothesis and its critics. Journal of Economic Perspectives, 17, 59-82.
- Shiguang, M. (2004). The Efficiency of China’s Stock Market. Hampshire: Ashgate.
- Siegel, J.J. (2002). Stocks for the Long Run. Third Edition, New York: McGraw-Hill.
- Voit, J. (2001). The Statistical Mechanics of Financial Markets. Berlin: Springer.
- Wald, A. and J. Wolfowitz (1940). On a test whether two samples are from the same population. Annals of Mathematical Statistics, 11, 147-162.
- White, J.S. (1961). Asymptotic Expansions for the Mean and Variance of the Serial Correlation Coefficient. Biometrika, 48, 85-94.

Toplam 14 adet kaynakça vardır.

Birincil Dil | İngilizce |
---|---|

Konular | İşletme |

Diğer ID | JA98HV86GY |

Bölüm | Makaleler |

Yazarlar | |

Yayımlanma Tarihi | 1 Nisan 2011 |

Gönderilme Tarihi | 1 Nisan 2011 |

Yayımlandığı Sayı | Yıl 2011 Cilt: 3 Sayı: 1 |