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Varianzquotiententests und Random Walk Verhalten internationaler Aktienmärkte

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Zusammenfassung

Varianzquotiententests gehören mittlerweile zum “State of the Art” der empirischen Untersuchung von Aktienkursen auf Random Walk Verhalten. Dieser Artikel gibt einen kompakten Überblick über diese Verfahren und geht insbesondere auch auf aktuelle Bootstrap-Entwicklungen auf diesem Gebiet ein. Darüber hinaus werden die vorgestellten Tests zur Analyse der Fragestellung herangezogen, ob die jüngste Finanzmarktkrise das Random Walk Verhalten internationaler Aktienkurse (repräsentiert durch 55 MSCI-Aktienindizes) beeinflusst hat. Es ergeben sich dabei zunächst Hinweise darauf, dass die Random Walk Hypothese in Industrieländern häufiger nicht verworfen werden kann, als dies bei Schwellen- und Entwicklungsländern der Fall ist. Zudem zeigt sich, dass es in Industrieländern beim Vergleich der Testergebnise für ein Vorkrisenpanel und ein Krisenpanel seltener zu andersgerichteten Testentscheidungen kommt, d. h. das Random Walk Verhalten hier durch die Krise kaum beeinflusst wurde. Im Zuge der Untersuchung zeigt sich außerdem, dass die Wahl des Testverfahrens für eine Fragestellung der hier formulierten Art kaum eine Rolle spielt, d. h. alle implementierten Testverfahren ähnliche Schlussfolgerungen erlauben.

Abstract

Variance ratio tests can be considered the state-of-the-art methodology for testing stock markets for random walk behavior. This article reviews recent developments in the area. Furthermore, it analyzes whether the recent financial crisis has influenced the random walk behavior of international stock markets. Our findings based on individual and multiple variance ratio tests can be summarized as follows: (i) There appears to be less evidence against the random walk hypothesis in industrialized markets than there is in emerging markets. (ii) Industrialized countries’ stock market behavior seems to be less affected by the financial crisis than the one of emerging markets. (iii) The choice of individual or multiple variance ratio test does not crucially influence our main conclusions.

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Authors and Affiliations

  1. Lehrstuhl für Finanzierung und Investition, Universität Leipzig, Grimmaische Straße 12, 04109 , Leipzig, Deutschland

    Benjamin R. Auer & Martin Schuster

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  1. Benjamin R. Auer
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  2. Martin Schuster
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Correspondence to Benjamin R. Auer.

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Auer, B.R., Schuster, M. Varianzquotiententests und Random Walk Verhalten internationaler Aktienmärkte. Manag Rev Q 64, 73–100 (2014). https://doi.org/10.1007/s11301-013-0097-x

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