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)
Full text not currently available from Enlighten.
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 |
University Staff: Request a correction | Enlighten Editors: Update this record