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The time series behaviour of asset prices: evidence from UK futures markets
Author(s) -
Fraser Patricia,
McKaig Andrew J.
Publication year - 1998
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/(sici)1099-1158(199804)3:2<143::aid-ijfe51>3.0.co;2-b
Subject(s) - futures contract , economics , asset (computer security) , financial economics , randomness , financial market , futures market , efficient market hypothesis , market efficiency , econometrics , monetary economics , finance , stock market , mathematics , paleontology , horse , biology , statistics , computer security , computer science
Using daily settlement prices for a range of real and financial futures over the period 6 April 1981–31 October 1995, this paper considers the extent to which, ex post , asset prices depart from random behaviour and investigates the efficiency of the markets within which the prices of the assets are determined. Our findings suggest, first, that there would appear to be substantial departures from randomness across markets. Second, the characteristics of the reported departures from randomness differ between markets. Third, for six of the nine assets analysed we found some evidence to suggest rejection of semi‐strong market efficiency. ©1998 John Wiley & Sons, Ltd.