Robust Weak-Form Efficiency Tests in Volatile European Equity Indices

Robust weak form efficiency tests are conducted to examine market efficiency in two pan-European indices; the large capitalisation EuroStoxx 50 and the small capitalisation EuroStoxx Small from January 2000 to March 2012. Applying the non-parametric Belaire-Franch and Opong (2005) multiple variance ratio test and Kim's (2006) wild bootstrap technique shows that large capitalisation stocks display evidence of negative serial correlation in the recent time period, and these indices to generally have greater weak-form efficiency over longer time windows. This finding contrasts with Hung et al (2009), particularly in large capitalisation equities, and suggests that weak-form efficiency can be influenced by high market volatility