Title

Daily Variation, Capital Market Efficiency and Predicting Stock Market Returns

Document Type

Article

Date of Original Version

8-1-2005

Abstract

Studies of capital market efficiency are important because they infer that there are predictable properties of the time series of prices of traded securities on organised markets. We examine the weak form of the efficient markets hypothesis to indicate its usefulness in terms of the results of this study. Furthermore, this study of individual securities prices of traded securities on organised markets corroborate previous findings of studies of stock market indexes both in the United States and for foreign stock exchanges that daily patterns are present in the times series of securities prices. You will note also, that the models identified reflect the closing prices on one day less the closing price on the previous day. In this way, we study returns and not average or closing prices. © 2005, Emerald Group Publishing Limited

Publication Title, e.g., Journal

Management Research News

Volume

28

Issue

8

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