TAILIEUCHUNG - An Empirical Test of German Stock Market Efficiency

A precursor to most of the recent structural changes in the stock exchange industry has been the process of demutualisation (or, in some cases, privatisation), which took its beginning with the Stockholm Stock Exchange in 1993. Virtually all stock exchanges in OECD countries have followed suit. In the sample covered by this article, all exchanges have demutualised and only three of them (TSE, WSX, SWX) have not yet listed. 23 Exchanges outside the OECD area, including regions such as South America and the Middle East, have only recently begun to demonstrate an interest in demutualisation. It is expected that the gradual. | An Empirical Test of German Stock Market Efficiency A Master Thesis submitted by Lindsay Gillette 188816 to Prof. Dr. Wolfgang Hardle in partial fulfillment of the requirements for the degree of Master of Science . - Center for Applied Statistics and Economics Institute for Statistics and Econometrics Humboldt-Universitãt zu Berlin Berlin Germany September 13 2005 HUMBOLDT-UNIVERSITẨT ZU BERLIN II Declaration of Authorship I hereby confirm that I have authored this master thesis independently and without use of other than the indicated resources. All passages which are literally or in general matter taken out of publications or other resources are marked as such. Lindsay Gillette September 13 2005 III Acknowledgement I would first like to thank Prof. Dr. Wolfgang Hardle for giving me the opportunity to write this thesis as well as for his stimulating Statistics of Financial Markets course. I would also like to express my appreciation to the Quantitative Research Group of Bankgesellschaft Berlin for allowing me to perform the entirety of the research and writing required for this thesis in their office. Particularly I would like to extend my sincerest gratitude to Peter Schmidt who offered his expertise and guidance on a daily basis. Furthermore I would like to thank Dietmar Hillebrand for his feedback and insightful suggestions. Last but not least I am extremely thankful to have such a wonderful family thoughtful friends and a loving mother who have provided me with warm support and who have been nothing but encouraging and understanding throughout this .

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