Simulating Stock Returns under switching regimes-a new test of market efficiency

Meenagh, David ORCID: https://orcid.org/0000-0002-9930-7947, Minford, Anthony Patrick Leslie ORCID: https://orcid.org/0000-0003-2499-935X and Peel, David Alan 2007. Simulating Stock Returns under switching regimes-a new test of market efficiency. Economics Letters 94 (2) , pp. 235-239. 10.1016/j.econlet.2006.06.036

Full text not available from this repository.

Abstract

A model of profits switches between four regimes with fixed probabilities; the rationally expected profits stream implies the stock market value. This efficient market model is not rejected by UK post-war time-series behaviour of either profits or the FTSE index.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Schools > Business (Including Economics)
Uncontrolled Keywords:	Regime switching; Stock returns; Efficient markets; Rational expectations
ISSN:	0165-1765
Last Modified:	01 Dec 2022 10:43
URI:	https://orca.cardiff.ac.uk/id/eprint/2555

Citation Data

Cited 5 times in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item