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Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation

Author

Listed:
  • Mohamed Chikhi

    (Université Kasdi Merbah Ouargla)

  • Claude Diebolt

    (BETA - Bureau d'Économie Théorique et Appliquée - AgroParisTech - UNISTRA - Université de Strasbourg - Université de Haute-Alsace (UHA) - Université de Haute-Alsace (UHA) Mulhouse - Colmar - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

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.

Suggested Citation

  • Mohamed Chikhi & Claude Diebolt, 2022. "Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation," Post-Print hal-03778331, HAL.
    • Handle: RePEc:hal:journl:hal-03778331
    DOI: 10.47743/ejes-2022-0111
    Note: View the original document on HAL open archive server: https://hal.science/hal-03778331
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    1. Mohamed CHIKHI & Claude DIEBOLT, 2022. "Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 13, pages 228-253, June.

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    More about this item

    Keywords

    LSTAR-ANLSTGARCH model; Semiparametric maximum likelihood; Nonlinearity; Market efficiency; Kernel density;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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