On the validity of the weak-form efficient markets hypothesis applied to the London stock exchange

Applied Financial Economics

Volumn 7, Issue 2, 1997, Pages 173-176

  Al Loughani, Nabeel ^a   Chappell, David ^b  

^a KUWAIT UNIVERSITY   (Kuwait)

^b UNIVERSITY OF SHEFFIELD   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040387232     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031097333736     Document Type: Article

References (18)

1. Al-Loughani, N. E. (1995) Random walk in thinly traded stock markets: The case of Kuwait, Arab Journal of Administrative Sciences (3D) 3, 189-209.
2. Bera, A. K. and Jarque, C. M. (1982) Model specification tests: a simultaneous approach, Journal of Econometrics, 20, 59-82.
3. Berglund, T., Hedvall, K. and Leljeblom, E. (1991) Predicting volatility of stock indexes for option pricing on a small security market, Working Paper 34, Stockholm School of Economics.
4. Bollerslev, T. (1987) A conditionally heteroscedastic time series model for speculative prices and rates of return, Review of Economics and Statistics, 69, 542-47.
5. Brock, W. A., Dechert, W. D. and Scheinkman, J. A. (1987) A test for independence based on the correlation dimension, Manuscript, Social Systems Research Unit, University of Wisconsin.
6. Dickey, D. A. and Fuller, W. A. (1979) Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427-31.
7. Eckbo, B. E. and Liu, J. (1993) Temporary components of stock prices: new univariate results, Journal of Financial and Quantitative Analysis, 28, 161-76.
8. Fama, E. F. (1965) The behaviour of stock market prices, Journal of Business, 38, 34-105.
9. Fama, E. F. (1970) Efficient capital markets: a review of theory and empirical work, Journal of Finance, 25, 383-417.
10. Frennberg, P. and Hansson, B. (1993) Testing the random walk hypothesis on Swedish stock prices: 1919-1990, Journal of Banking and Finance, 17, 175-91.
11. Grassberger, P. and Procaccia, I. (1983) Measuring the strangeness of strange attractors, Physica, 90, 189-208.
12. Hsieh, D. A. (1991) Chaos and non-Linear dynamics: applications to financial markets, Journal of Finance, 46, 1839-77.
13. Huang, B. and Yang, C. W. (1995) The fractal structure in multinational stock returns, Applied Economics Letters, 2, 67-71.
14. Kim, M. J. K., Nelson, C. R. and Startz, R. (1988) Mean reversion in stock prices? A reappraisal of the empirical evidence, Working Paper 2795, National Bureau of Economic Research.
15. Lo, A. W. (1991) Long-term memory in stock market prices, Econometrica, 59, 1279-1313.
16. Lo, A. W. and MacKinlay, A. C. (1988) Stock market prices do not follow random walks: evidence from a simple specification test, Review of Financial Studies, 1, 41-66.
17. Lo, A. W. and MacKinlay, A. C. (1989) The size and power of the variance ratio test in finite samples, Journal of Econometrics, 40, 203-38.
18. Poterba, J. M. and Summers, L. H. (1988) Mean reversion in stock prices: evidence and implications, Journal of Financial Economics, 25, 323-48.