Evidence of market inefficiency in a war environment
This paper examines the UK FT30 stock index during the Second World War period 1939-1945 for weak form efficiency, showing that there is substantial structure in the data, albeit in two distinct subsets. Fitting a GARCH (p, q) model to each data subset yields R -2 values of around 19%; clear evidence that the data do not follow a random walk. The weak-form efficiency hypothesis is therefore rejected.
Year of publication: |
2000
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Authors: | Chappell, David ; Eldridge, Robert |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 10.2000, 5, p. 489-492
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Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
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