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Economic surprises and the behaviour of asset prices: Some analyses and further empirical results

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published
<mark>Journal publication date</mark>1988
<mark>Journal</mark>Economics Letters
Issue number4
Volume27
Number of pages5
Pages (from-to)375-379
Publication StatusPublished
<mark>Original language</mark>English

Abstract

This paper examines the implications of serial correlation in asset prices for market efficiency and announcement effect tests. The impact of four types of economic surprise is examined after allowing for observed serial correlation in three asset price series.