Publication:
Privatisation and stock market efficiency: the British experience

dc.contributor.coauthorHayri, A
dc.contributor.departmentDepartment of Economics
dc.contributor.kuauthorYılmaz, Kamil
dc.contributor.schoolcollegeinstituteCollege of Administrative Sciences and Economics
dc.date.accessioned2024-11-09T23:52:25Z
dc.date.issued1997
dc.description.abstractWe 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.
dc.description.indexedbyWOS
dc.description.indexedbyScopus
dc.description.issue2
dc.description.openaccessNO
dc.description.publisherscopeInternational
dc.description.sponsoredbyTubitakEuN/A
dc.description.volume44
dc.identifier.doi10.1111/1467-9485.00048
dc.identifier.eissn1467-9485
dc.identifier.issn0036-9292
dc.identifier.quartileQ3
dc.identifier.scopus2-s2.0-1142300800
dc.identifier.urihttps://doi.org/10.1111/1467-9485.00048
dc.identifier.urihttps://hdl.handle.net/20.500.14288/14853
dc.identifier.wosA1997WY90100001
dc.keywordsCapital-markets
dc.keywordsPrices
dc.language.isoeng
dc.publisherWiley
dc.relation.ispartofScottish Journal of Political Economy
dc.subjectEconomics
dc.subjectPolitical science
dc.titlePrivatisation and stock market efficiency: the British experience
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.kuauthorYılmaz, Kamil
local.publication.orgunit1College of Administrative Sciences and Economics
local.publication.orgunit2Department of Economics
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relation.isParentOrgUnitOfPublication.latestForDiscovery972aa199-81e2-499f-908e-6fa3deca434a

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