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The market efficiency hypothesis on stock prices: international evidence in the 1920s

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  • Junsoo Lee
  • Jen-Chi Cheng
  • Chyongchiou Lin
  • Cliff Huang

Abstract

This paper conducts the goodness of fit test of Bartlett (1954) on the stock prices of 12 countries during the period from January 1921 to December 1930 to examine the market efficiency hypothesis. The market efficiency hypothesis is not rejected for most European countries, but it is rejected for non-European countries. This finding is consistent with the documented active speculation that movements of the stock prices in the 1920s were highly volatile, perhaps due to the immaturity of the Canadian and US financial markets.

Suggested Citation

  • Junsoo Lee & Jen-Chi Cheng & Chyongchiou Lin & Cliff Huang, 1998. "The market efficiency hypothesis on stock prices: international evidence in the 1920s," Applied Financial Economics, Taylor & Francis Journals, vol. 8(1), pages 61-65.
    • Handle: RePEc:taf:apfiec:v:8:y:1998:i:1:p:61-65
    DOI: 10.1080/096031098333258
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    References listed on IDEAS

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    Cited by:

    1. Ghassan Omet & Mohammad Khasawneh & Jamal Khasawneh, 2002. "Efficiency tests and volatility effects: evidence from the Jordanian stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 9(12), pages 817-821.

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