Börsenzwang und Markteffizienz. Eine empirische Untersuchung mit Hilfe von „Random-Walk-Tests“

Abstract

Compulsory Stock Exchange Transactions and Market Efficiency

In the course of the stock exchange reform, so-called compulsory stock exchange trading was introduced from July 1, 1968, onwards by way of selfcommitment of the banks. Since that time, share purchase and sales contracts up to DM 100.000,00 must be performed via {he stock exchanges and cannot be settled by offset transactions among the banks or by the banks entering into such contracts themselves. This article examines how far this broadening of the market, which compulsory stock exchange trading was intended to and did bring about, has made share pricing more objective, i. e., less manipulatable. The point of departure was the assumption that reduction of possibilities to manipulate must enhance market efficiency. Efficient markets, however, are characterized by the fact that changes in price series on those markets are independent over time, i.e., they satisfy the random walk hypothesis. With two of the best-known random walk tests - estimation of autocorrelation coefficients and the run test - we examined the prices of shares of frequently traded German public companies prior to and after the stock exchange reform, and found that in the case of a significantly large number of price series there was indeed a reduction in deviation from the random walk. From this we feel we may conclude that compulsory stock exchange trading has led, not to stabilization of the price trend as found by other studies, but certainly to an improvement in the efficiency of the German securities market