Persistence in UK share returns: some evidence from disaggregated data

MacDonald, R. and Power, D.M. (1993) Persistence in UK share returns: some evidence from disaggregated data. Applied Financial Economics, 3(1), pp. 27-38. (doi:10.1080/758527814)

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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.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:MacDonald, Professor Ronald
Authors: MacDonald, R., and Power, D.M.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Applied Financial Economics
Publisher:Routledge
ISSN:0960-3107
ISSN (Online):1466-4305

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