The Weak-Form Efficiency of the Finnish and Scandinavian Stock Exchanges: A Comparative Note on Thin Trading
利用赫尔辛基证券交易所1970-1981年的日度交易数据，检验股票收益的随机性，并与斯德哥尔摩、奥斯陆和哥本哈根交易所的已有证据比较，探讨交易所年交易量较小是否影响收益的非随机程度。
This note adds to previous Scandinavian evidence produced by the Jennergren & Korsvold (1974, 1975),' Jennergren (1975), Jennergren & ToftNielsen (1977), Korhonen (1977) and S0rensen (1982) studies of stock market return randomness. In daily data sets from the Oslo and Stockholm Stock Exchanges, Jennergren & Korsvold (1975) found evidence of nonrandomness in a majority of the 45 stocks studied. A similar result was later reported for the Copenhagen exchange by Jennergren & Toft-Nielsen (1977). Subsequent studies by Jennergren (1975) and S0rensen (1980) further indicated that the serial correlation inherent in Stockholm and Copenhagen data was strong enough to allow supernormal yields on simple filter strategies.2 The data for our study consist of daily trading or, when closings did not occur, bid prices adjusted for dividends and issues for all stocks quoted on the Helsinki Stock Exchange (HESE) between February 2, 1970 and December 31, 1981, along with data on daily trading volumes for the years 1977-81.3 The price file is based on the KOP-index file.4 Throughout this note, comparisons with previous results for other Scandinavian exchanges are made. Allowing for variations in sample periods, we attempt a study of whether a smaller annual turnover of an exchange effects the degree of nonrandomness exhibited by its stock returns. Of the