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Testen der Effizienzmarkthypothese in den Transformationsländern Polen und Ungarn mittels GARCH-Modellen

Testen der Effizienzmarkthypothese in den Transformationsländern Polen und Ungarn mittels GARCH-Modellen

          
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About the Book

Studienarbeit aus dem Jahr 2011 im Fachbereich BWL - Offline-Marketing und Online-Marketing, Note: 1,0, Technische Universität Dresden (Fakultät Wirtschaftswissenschaften), Veranstaltung: Ökonometrie, Sprache: Deutsch, Abstract: Die Effizienzmarkthypothese (EMH) ist ein wichtiges Fundament im Rahmen der Kapitalmarkttheorie und kann mit Hilfe von GARCH Modellen aus der Ökonometrie analysiert und interpretiert werden. Dabei ist es laut Harrison & Paton (2007) möglich, dass die EMH bei falscher Modellspezifikation abgelehnt werden muss, obwohl nachweislich ein effizienter Markt vorliegt. Hingegen kann bei korrekter Modellspezifikation die EMH bestätigt werden. Die vorliegende Arbeit greift die Erkenntnisse aus Harrison & Paton (2007) auf und wendet diese auf die Märkte Polens und Ungarns an, wobei das Ergebnis gewonnen wird, das beide Märkte aktuell als effizient im Rahmen der schwachen EMH einzustufen sind. Allerdings ist insbesondere der polnische Markt in seinen Anfängen als ineffizient einzustufen.


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Product Details
  • ISBN-13: 9783640906154
  • Publisher: Grin Publishing
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 3 mm
  • Width: 148 mm
  • ISBN-10: 3640906152
  • Publisher Date: 05 May 2011
  • Height: 210 mm
  • No of Pages: 52
  • Series Title: German
  • Weight: 82 gr


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