STOCK PRICES AND EXCESSIVE VOLATILITY: SOME EVIDENCE FOR THEFT ORDINARY SHARE INDEX
作者:
Ronald MacDonald,
期刊:
Journal of Business Finance&Accounting
(WILEY Available online 1994)
卷期:
Volume 21,
issue 1
页码: 65-76
ISSN:0306-686X
年代: 1994
DOI:10.1111/j.1468-5957.1994.tb00305.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
In this paper the efficiency of the UK stock market is examined using the FT Ordinary share price and dividend indices for the period January 1947 to June 1987. In particular, we examine the validity of the present value model of stock prices using a vector error correction model (VECM). Amongst the findings reported in the paper are that stock prices and dividends are cointegrated and the cross‐equation restrictions imposed on the VECM are strongly rejecte
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