{"title":"用半参数估计的LSTAR-ANLSTGARCH方法检验法国ETF市场的弱形式效率","authors":"Mohamed Chikhi, C. Diebolt","doi":"10.47743/ejes-2022-0111","DOIUrl":null,"url":null,"abstract":"The present research aims to test the weak-form efficiency of the French ETF market through a LSTAR model with ANSTGARCH errors, by using semiparametric maximum likelihood where the innovation distribution is replaced by a nonparametric estimate based on the kernel density function. In this paper, we consider the daily Xtrackers CAC 40 UCITS from 2009 to 2020 for the analysis as it is supposed to capture more information compared to other French stock markets. After application of different statistical tests, we show that the price fluctuations appear as the result of transitory shocks and the predictions provided by the LSTAR-ANLSTGARCH model are better than those of other models for some time horizons. The predictions from this model are also better than those of the random walk model; accordingly, the XCAC 40 price is a not weak form of an efficient market for the entire period because its successive return is nonlinearly dependent and does not generate randomly. bispectrum estimates by exploiting its asymptotic distribution. The numbers in the parenthesis are critical probabilities. 𝐹 𝑇𝑠𝑎𝑦4 is the Tsay Ori-F test for neglected non-linearities in an autoregression. We test more specifically against STAR using 4 lags.","PeriodicalId":43713,"journal":{"name":"Eastern Journal of European Studies","volume":null,"pages":null},"PeriodicalIF":0.7000,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation\",\"authors\":\"Mohamed Chikhi, C. Diebolt\",\"doi\":\"10.47743/ejes-2022-0111\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The present research aims to test the weak-form efficiency of the French ETF market through a LSTAR model with ANSTGARCH errors, by using semiparametric maximum likelihood where the innovation distribution is replaced by a nonparametric estimate based on the kernel density function. In this paper, we consider the daily Xtrackers CAC 40 UCITS from 2009 to 2020 for the analysis as it is supposed to capture more information compared to other French stock markets. After application of different statistical tests, we show that the price fluctuations appear as the result of transitory shocks and the predictions provided by the LSTAR-ANLSTGARCH model are better than those of other models for some time horizons. The predictions from this model are also better than those of the random walk model; accordingly, the XCAC 40 price is a not weak form of an efficient market for the entire period because its successive return is nonlinearly dependent and does not generate randomly. bispectrum estimates by exploiting its asymptotic distribution. The numbers in the parenthesis are critical probabilities. 𝐹 𝑇𝑠𝑎𝑦4 is the Tsay Ori-F test for neglected non-linearities in an autoregression. We test more specifically against STAR using 4 lags.\",\"PeriodicalId\":43713,\"journal\":{\"name\":\"Eastern Journal of European Studies\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.7000,\"publicationDate\":\"2022-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Eastern Journal of European Studies\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.47743/ejes-2022-0111\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"AREA STUDIES\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Eastern Journal of European Studies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.47743/ejes-2022-0111","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"AREA STUDIES","Score":null,"Total":0}
Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation
The present research aims to test the weak-form efficiency of the French ETF market through a LSTAR model with ANSTGARCH errors, by using semiparametric maximum likelihood where the innovation distribution is replaced by a nonparametric estimate based on the kernel density function. In this paper, we consider the daily Xtrackers CAC 40 UCITS from 2009 to 2020 for the analysis as it is supposed to capture more information compared to other French stock markets. After application of different statistical tests, we show that the price fluctuations appear as the result of transitory shocks and the predictions provided by the LSTAR-ANLSTGARCH model are better than those of other models for some time horizons. The predictions from this model are also better than those of the random walk model; accordingly, the XCAC 40 price is a not weak form of an efficient market for the entire period because its successive return is nonlinearly dependent and does not generate randomly. bispectrum estimates by exploiting its asymptotic distribution. The numbers in the parenthesis are critical probabilities. 𝐹 𝑇𝑠𝑎𝑦4 is the Tsay Ori-F test for neglected non-linearities in an autoregression. We test more specifically against STAR using 4 lags.
期刊介绍:
The Eastern Journal of European Studies (EJES) seeks to provide a forum for multidisciplinary and interdisciplinary dialogue between ideas, and a framework for theoretical and empirical analyses covering major topics in European studies: European history, politics, European economy and European policies, EU community law, European culture and society. EJES encourages studies focusing on Central and Eastern Europe (including Eastern Neighbourhood) in order to better understand its transformations induced by the integration process and to address its specific challenges by supporting scientific debates on the general European theory and practice. Furthermore, the editorial board regularly invites distinguished guest editors to coordinate thematic issues.