The market efficiency hypothesis on stock prices: international evidence in the 1920s

Junsoo Lee (), Jen-Chi Cheng, Chyongchiou Lin and Cliff Huang

Applied Financial Economics, 1998, vol. 8, issue 1, 61-65

Abstract: This paper conducts the goodness of fit test of Bartlett (1954) on the stock prices of 12 countries during the period from January 1921 to December 1930 to examine the market efficiency hypothesis. The market efficiency hypothesis is not rejected for most European countries, but it is rejected for non-European countries. This finding is consistent with the documented active speculation that movements of the stock prices in the 1920s were highly volatile, perhaps due to the immaturity of the Canadian and US financial markets.

Date: 1998
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/096031098333258 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:8:y:1998:i:1:p:61-65

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/096031098333258

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().