The Efficiency of Security Markets

  • Terence M. Ryan
Chapter
Part of the Studies in Finance and Accounting book series

Abstract

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. 1.
    E. F. Fama, ‘The Behaviour of Stock Market Prices’, Journal of Business (January 1965) pp. 34–105.Google Scholar
  2. 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
  3. 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
  4. T. M. Ryan, ‘Security Prices as Markov Processes’, Journal of Financial and Quantitative Analysis (January 1973) pp. 17–36.Google Scholar
  5. 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
  6. E. F. Fama and M. E. Blume, ‘Filter Rules and Stock Market Trading’, journal of Business (January 1966) pp. 226–41;Google Scholar
  7. 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
  8. 6.
    J. B. Cohen and E. D. Zinbarg, Investment Analysis and Portfolio Management ( Homewood, Ill.: Irwin, 1967 ) p. 521.Google Scholar

Copyright information

© Terence M. Ryan 1978

Authors and Affiliations

  • Terence M. Ryan
    • 1
  1. 1.Trinity CollegeUniversity of DublinUK

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