Persistence in UK share returns: some evidence from disaggregated data

R. Macdonald, D. M. Power

    Research output: Contribution to journalArticle

    10 Citations (Scopus)

    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 languageEnglish
    Pages (from-to)27-38
    Number of pages12
    JournalApplied Financial Economics
    Volume3
    Issue number1
    DOIs
    Publication statusPublished - 1993

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