Evidence of market inefficiency in a war environment

David Chappell and Robert Eldridge

Applied Financial Economics, 2000, vol. 10, issue 5, 489-492

Abstract: This paper examines the UK FT30 stock index during the Second World War period 1939-1945 for weak form efficiency, showing that there is substantial structure in the data, albeit in two distinct subsets. Fitting a GARCH (p, q) model to each data subset yields R -2 values of around 19%; clear evidence that the data do not follow a random walk. The weak-form efficiency hypothesis is therefore rejected.

Date: 2000
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DOI: 10.1080/096031000416361

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