The random walk hypothesis in the Spanish stock market: 1980-1992
Article Abstract:
An examination of the Madrid Stock Exchange was conducted to see if the stock prices followed the random walk hypothesis. The research focused on the autocorrelation analysis and used disaggregated daily closing prices dating from Jan. 1980 to Dec. 1992. The general conclusion arising from the Ljung-Box statistics showed that while stock prices seemingly followed a random walk pattern, they actually were autocorrelated and nonlinear dependent. Thus, stock prices may be predictable for short periods of time.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1997
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Price limits and stock market efficiency
Article Abstract:
Analysis of the relationship between stock price limits and stock market efficiency using the Korean stock market as a model shows that there exists a positive link between the two variables. Using regression analysis, it is shown that unusual flexibility or movement of stocks is effected through price limits which, unfortunately, also affects the potential of the stock market to perform at peak efficiency.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1996
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Stock market volatility in an emerging market: Further evidence from the Athens Stock Exchange
Article Abstract:
Time series properties of daily returns of the Athens Stock Exchange between 1987 and 1997 are examined.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2000
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- Abstracts: Auditor concentration: a replication and extension for the UK audit market 1991-1995. An experimental study of auditor analytical review judgements
- Abstracts: Share prices and macroeconomic factors. Discussion of 'Large shareholders, takeovers and target valuation.' (comment on Sudi Sudarsanam in this issue, p. 295)(Special Issue: Selected Papers from the Conference on Empirical Research in Business Finance and Accounting, May 1995)