MAKET EFFICIENCY IN A SMALL INDUSTRIALIZED COUNTRY: THE CASE OF DENMARK
This article examines the informational efficiency of the Copenhagen Stock Exchange (CSE) in Denmark. Following Famas(l970) three levels ofmarket efficiency, efficiency tests are applied to the CSE daily stock return datafrom January 1985 to March 1994. Besides the traditional random walk andfilter...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
People & Global Business Association (P&GBA)
1998-09-01
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| Series: | Global Business and Finance Review |
| Subjects: | |
| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20150625124142-PFVIU.pdf |
| Summary: | This article examines the informational efficiency of the Copenhagen Stock Exchange (CSE) in Denmark. Following Famas(l970) three levels ofmarket efficiency, efficiency tests are applied to the CSE daily stock return datafrom January 1985 to March 1994. Besides the traditional random walk andfilter rule tests, a more recent methodology ofexpected utility test is applied to test the weakform efficiency. In testing semi-strongform efficiency, the focus is on how fast new information is incorporated in security prices. Finally, the strong form test investigates if security analysts in Denmark possess private information that may lead to excess profits. The results do not suggest that the CSE is any less efficient than the larger stock markets in the world. |
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| ISSN: | 1088-6931 2384-1648 |