Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation
نویسندگان
چکیده
In this paper, we consider the daily Xtrackers CAC 40 UCITS from 2009 to 2020 for analysis as it is supposed capture more information compared other French stock markets. After application of different statistical tests including BDS test, Hinich bispectrum Tsay test linearity, long memory and automatic serial correlation tests, try weak form efficiency ETF market through a logistic smooth transition AR model with nonlinear asymmetric GARCH errors using semiparametric maximum likelihood where innovation distribution replaced by nonparametric estimate based on kernel density function. analyzing forecasting results, show that price fluctuations appear result transitory shocks predictions provided LSTAR-ANSTGARCH are better than those models some time horizons. The also random walk model; accordingly, XCAC not efficient entire period because its successive return nonlinearly dependent doesn't generate randomly.
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ژورنال
عنوان ژورنال: Eastern Journal of European Studies
سال: 2022
ISSN: ['2068-6633', '2068-651X']
DOI: https://doi.org/10.47743/ejes-2022-0111