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| Author: | Areal, N. M. P. B. C. Armada, M. J. D. R. |
| Title: | The long-horizon returns behaviour of the Portuguese stock market |
| Journal: | European Journal of Finance
2002 : MAR, VOL. 8:1, p. 93-122 |
| Index terms: | STOCKS STOCK MARKETS PORTUGAL ANALYTICAL REVIEW FINANCE |
| Language: | eng |
| Abstract: | In the last few years several research studies have challenged the traditional weak-form efficiency tests of the stock market. These studies suggested an alternative to the random walk model, containing temporary and permanent components. If stocks follow such a model then the traditional tests, using returns computed for short intervals would be unable to detect them. To investigate the evidence for such models in the Portuguese stock market ten stock indexes were created. This is a pioneer study of the Portuguese stock market, and uses nominal, real and excess returns, computed for longer horizons. Three methodologies were used: variance ratios, ordinary least squares regressions and weighted least squares regressions. |
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