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Weak form efficiency of the capital market: a spectral analytic approach (°)

Published online by Cambridge University Press:  17 August 2016

C. De Groof
C. De Groof*
Affiliation:
University of Antwerp (UFSIA)
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Extract

A capital market is said to be weakly efficient whenever the time series of past information (usually past returns) do not contain any information that enables an investor to obtain higher-than-normal yields. Operationally, the definition of weak form capital market efficiency comes down to stating that statistically no patterns of dependence can be discerned in the time series of rates of return. Up till now empirical testing of the weak form hypothesis has been carried out by means of autocorrelation- and run-analysis.

Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 44 , Issue 2 , June 1978 , pp. 193 - 215
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 1978 

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Footnotes

°

Thanks are due to an anonymous referee for his helpful comments. Remaining errors are ours.

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