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- Title
STOCK MARKET EFFICIENCY.
- Authors
Bos, J. W. D.
- Abstract
This article presents a survey of recent literature on stock market efficiency, with special reference to the US and Dutch stock markets. Additionally, models are specified and estimated for the daily return since 1987 on FTA indices for eleven major stock markets, allowing for non-normality, heteroskedasticity, leverage effects and autocorrelation. The leverage effect and positive auto-correlation are characteristics of some of the indices investigated. The magnitude of the auto-correlation, however, is so small, that no profitable arbitrage opportunities arise and weak-form efficiency of these stock markets is not rejected.
- Subjects
UNITED States; STOCK exchanges; DUTCH people; AUTOCORRELATION (Statistics); ARBITRAGE; SECURITIES
- Publication
De Economist (0013-063X), 1994, Vol 142, Issue 4, p455
- ISSN
0013-063X
- Publication type
Article
- DOI
10.1007/BF01384466