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Efficient capital markets: A statistical definition and comments

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  • Milionis, Alexandros E.

Abstract

An alternative definition for market efficiency, based on statistical rather than financial arguments is suggested, which, though equivalent with the existing one, has some comparative advantages. Further, the implications that results from some statistical tests on return predictability may have for market efficiency are discussed.

Suggested Citation

  • Milionis, Alexandros E., 2007. "Efficient capital markets: A statistical definition and comments," Statistics & Probability Letters, Elsevier, vol. 77(6), pages 607-613, March.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:6:p:607-613
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    References listed on IDEAS

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    9. Alexandros Milionis & Demetrios Moschos, 2000. "On the validity of the weak-form efficient markets hypothesis applied to the London stock exchange: comment," Applied Economics Letters, Taylor & Francis Journals, vol. 7(7), pages 419-421.
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    Cited by:

    1. Ashok Chanabasangouda Patil & Shailesh Rastogi, 2019. "Time-Varying Price–Volume Relationship and Adaptive Market Efficiency: A Survey of the Empirical Literature," JRFM, MDPI, vol. 12(2), pages 1-18, June.
    2. Alexandros Milionis & Evangelia Papanagiotou, 2009. "A study of the predictive performance of the moving average trading rule as applied to NYSE, the Athens Stock Exchange and the Vienna Stock Exchange: sensitivity analysis and implications for weak-for," Applied Financial Economics, Taylor & Francis Journals, vol. 19(14), pages 1171-1186.
    3. Alexandros E. Milionis, 2019. "A simple return generating model in discrete time; implications for market efficiency testing," Working Papers 259, Bank of Greece.

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