Weak Form Efficiency: A Comparison between the Spanish and the U.S. Capital Stock Markets

NR. 273

Posted: 13 Jul 1998

Date Written: July 1994

Abstract

This paper identifies some weak-form inefficiencies present in the U.S. and/or the Spanish stock market: autocorrelation, cross correlation and day of the week and month effects. The main findings are that several inefficiencies exist in both markets, the strongest one being the lead-lag effect that exists between large firms and small firms. In the U.S., the effect is strongest with weekly data, although with real transaction costs no significant abnormal return can be obtained from investment strategies that take advantage of this effect. In Spain, though, even with real transaction costs, strongly significant abnormal returns can be obtained.

JEL Classification: G14

Suggested Citation

Martínez Abascal, Eduardo and Pregel, Gert, Weak Form Efficiency: A Comparison between the Spanish and the U.S. Capital Stock Markets (July 1994 ). NR. 273. Available at SSRN: https://ssrn.com/abstract=7129

Eduardo Martínez Abascal (Contact Author)

University of Navarra ( email )

Camino del Cerro del Aguila, 3
Pamplona, Navarra 31080
Spain
(34-3) 204.40.00 (Phone)
(34-3) 280.11.77 (Fax)

Gert Pregel

University of Navarra

Camino del Cerro del Aguila, 3
Pamplona, Navarra 31080
Spain

Register to save articles to
your library

Register

Paper statistics

Abstract Views
949
PlumX Metrics