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

Nabeel E. Al‐Loughani · David A. Chappell

50 citations0/0 files storedApplied Financial Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

The validity of the weak form of the efficient markets hypothesis (EMH) is tested for the FTSE 30 share index during a period when government economic policy towards the financial markets was relatively unchanging. The EMH would suggest random walk behaviour but this does not occur; instead the data series has significant heteroscedasticity. The series is successfully explained by a GARCH M(1, 1) model. We use the BDS test to show that the residuals from this model are IID.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 50 citations exist upstream.

References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1965The Behavior of Stock-Market Prices 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test 1996A test for independence based on the correlation dimension 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1993The journal of financial economics

Cited by

2008Testing weak‐form efficiency in the Bahrain stock market 2006Tests of weak form efficiency in the Middle East emerging markets 2009The Weak-form Efficiency of Chinese Stock Markets 2006The Evolving and Relative Efficiencies of Stock Markets: Empirical Evidence from Rolling Bicorrelation Test Statistics 2006Events that Shook the Market: An Insight from Nonlinear Serial Dependencies in Intraday Returns

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.