The Efficiency of Security Markets
The market conditions under which a good can be traded are of many types and have in the past been diligently classified by economists. There may be just a single seller — a monopolist — or there may be several sellers acting in unison — collusive oligopolists. Alternatively, they may not collude, or their numbers may be so great as to preclude a stable collusion. Similarly, on the demand side there may be just a single purchaser or a small group of purchasers, colluding or otherwise, or a large number of purchasers.
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Notes and References
- 1.E. F. Fama, ‘The Behaviour of Stock Market Prices’, Journal of Business (January 1965) pp. 34–105.Google Scholar
- 2.See, for example, M. G. Kendall, ‘The Analysis of Economic Time-Series’, Journal of the Royal Statistical Society, vol. 96, pt 1 (1953);Google Scholar
- A. B. Moore, ‘Some Characteristics of Changes in Common Stock Prices’, Doctoral Thesis, University of Chicago (1960) — excerpts reprinted in P. H. Cootner, The Random Character of Stock Prices ( Cambridge: M.I.T. Press, 1964 );Google Scholar
- T. M. Ryan, ‘Security Prices as Markov Processes’, Journal of Financial and Quantitative Analysis (January 1973) pp. 17–36.Google Scholar
- 4.See S. S. Alexander, ‘Price Movements in Speculative Markets: Trends or Random Walks’, Industrial Management Review, 2 (1961) pp. 7–26 — reprinted in P. H. Cootner, The Random Character of Stock Prices ( Cambridge: M.I.T. Press, 1964 );Google Scholar
- E. F. Fama and M. E. Blume, ‘Filter Rules and Stock Market Trading’, journal of Business (January 1966) pp. 226–41;Google Scholar
- J. C. van Home and G. G. C. Parker, ‘The Random Walk Theory: An Empirical Test’, Financial Analysts journal (November — December 1967 ) pp. 87–92.Google Scholar
- 6.J. B. Cohen and E. D. Zinbarg, Investment Analysis and Portfolio Management ( Homewood, Ill.: Irwin, 1967 ) p. 521.Google Scholar