Revista de negocios y asuntos financieros

Validity of Weak Form Efficiency in European Stock Market

Abstract

Rekha Gupta*

In this paper weak form efficiency is tested in ten European country indices. For this purpose Run test and Autocorrelation test are used. Run test clearly supported the dependent behavior of majority of countries. Run test has inherent weakness as only sign are conceded not how much amount of increase or decrease. The coefficients are obtained for 1-16 time lags to examine results for varying periodicity. Serial correlation coefficient statistics indicates the majority of indices are not in weak form efficiency. This study also shows that significant auto correlations are converted into insignificant with increases time lags.