STOCK PRICES AND EXCESSIVE VOLATILITY: SOME EVIDENCE FOR THE FT ORDINARY SHARE INDEX
用1947至1987年英国FT普通股指数数据，通过向量误差修正模型检验现值模型，发现股价与股息协整但模型约束被拒绝，为市场效率争议提供证据。
In this paper the efficiency of the UK stock market is examined using the FT Ordinary share price and dividend indices for the period January 1947 to June 1987. In particular, we examine the validity of the present value model of stock prices using a vector error correction model (VECM). Amongst the findings reported in the paper are that stock prices and dividends are cointegrated and the cross‐equation restrictions imposed on the VECM are strongly rejected.