Privatisation and stock market efficiency: The British experience
UNSPECIFIED. (1997) Privatisation and stock market efficiency: The British experience. SCOTTISH JOURNAL OF POLITICAL ECONOMY, 44 (2). pp. 113-133. ISSN 0036-9292Full text not available from this repository.
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.
|Item Type:||Journal Article|
|Subjects:||H Social Sciences > HC Economic History and Conditions
J Political Science > JA Political science (General)
|Journal or Publication Title:||SCOTTISH JOURNAL OF POLITICAL ECONOMY|
|Publisher:||BLACKWELL PUBL LTD|
|Official Date:||May 1997|
|Number of Pages:||21|
|Page Range:||pp. 113-133|
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