Abstract
The degree of predictability of UK share returns is examined using variance ratio and rescaled range tests. The tests are constructed using a dissagregate weekly data base spanning the period January 1982 to June 1990. The main conclusion is that the vast majority of share prices are characterized by a simple random walk process. This finding contrasts with the recent US literature, but supports the ‘traditional’ view of the behaviour of stock prices.
Original language | English |
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Pages (from-to) | 27-38 |
Number of pages | 12 |
Journal | Applied Financial Economics |
Volume | 3 |
Issue number | 1 |
DOIs | |
Publication status | Published - 1993 |
ASJC Scopus subject areas
- Economics and Econometrics
- Finance