search query: @author Macdonald, R. / total: 26
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| Author: | MacDonald, R. |
| Title: | Stock prices and excessive volatility: some evidence for the FT Ordinary Share Index |
| Journal: | Journal of Business Finance and Accounting
1994 : JAN, VOL. 21:1, p. 65-76 |
| Index terms: | SHARE PRICES UNITED KINGDOM STOCK MARKETS |
| Language: | eng |
| Abstract: | 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, the author examines 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 rejected. |
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