Persistence in UK share returns: some evidence from disaggregated data

TY - JOUR

T1 - Persistence in UK share returns

T2 - some evidence from disaggregated data

AU - Macdonald, R.

AU - Power, D. M.

PY - 1993

Y1 - 1993

N2 - 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.

AB - 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.

UR - https://www.scopus.com/pages/publications/84963474898

U2 - 10.1080/758527814

DO - 10.1080/758527814

M3 - Article

AN - SCOPUS:84963474898

SN - 0960-3107

VL - 3

SP - 27

EP - 38

JO - Applied Financial Economics

JF - Applied Financial Economics

IS - 1

ER -