Publication: Privatisation and stock market efficiency: the British experience
Program
KU-Authors
KU Authors
Co-Authors
Hayri, A
Publication Date
Language
Type
Embargo Status
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Abstract
We present evidence that with its emphasis on wide-share-ownership the British privatisation program created heavy involvement of small investors in privatised stocks. Using standard market efficiency tests and maximum likelihood estimates of stationary fractional ARIMA models, we show that the pricing of privatised stocks in the London Stock Exchange was indeed inefficient, unlike the rest of the market. Together, these two pieces of evidence suggest that small investors, behaving like noise-traders, may be generating this inefficiency. Yet, we cannot rule out alternative explanations.
Source
Publisher
Wiley
Subject
Economics, Political science
Citation
Has Part
Source
Scottish Journal of Political Economy
Book Series Title
Edition
DOI
10.1111/1467-9485.00048