Stock prices, efficiency and cointegration: the case of the UK

MacDonald, R. (1993) Stock prices, efficiency and cointegration: the case of the UK. International Review of Economics and Finance, 2(3), pp. 251-265. (doi:10.1016/1059-0560(93)90003-9)

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Abstract

In this paper a high quality disaggregate data base consisting of the stock prices of 40 companies quoted on the UK stock exchange is analyzed using recently developed techniques from the time series literature. In particular, unit root and cointegration techniques are used to test the concept of static efficiency for individual share prices. Amongst the results reported in the paper is the finding that disaggregate stock prices are cointegrated which is interpreted as a violation of static efficiency.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:MacDonald, Professor Ronald
Authors: MacDonald, R.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:International Review of Economics and Finance
Publisher:Elsevier
ISSN:1059-0560
ISSN (Online):1873-8036|

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