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1、AppliedFinancialEconomics,1996,6,259-269PermanentandtemporarycomponentsofCanadianstockpricesAPOSTOLOSSERLETISandMURRAYA.SONDERGARDDepartmentofEconomics,TheUniversityofCalgary,Calgary,AlbertaT2N1N4MarketefficiencyintheTorontoStockExchange(TSE)isinvestigatedusingbothtradition
2、altestsofmarketefficiency,aswellastestsdevisedinthelate1980s.Inparticular,unitroottests,meanreversiontests,aswellasnon-linearityandchaostestsareapplied.Theresultsareconsistentwithmarketefficiency.I.INTRODUCTIONReturnIndexexhibitsmeanrevertingbehaviour(basedontheworkofCochra
3、ne,1988;PoterbaandSummers,1988:Thehypothesisthatstockmarketsareefficient,andtheandFamaandFrench,1988).SectionVItests(inthespiritnotionsconnectedwithit,haverecentlyprovidedthebasisofSerletisandDormaar.1996)fordeterministicwhitechaosforagreatdealofresearchinfinancialeconomics
4、.BrieflyusingtheBrock,Dechert,andScheinkman(1987)BDSstated,thehypothesisclaimsthatassetpricesarerationallynonparametrictestforwhiteness(independentandident-relatedtoeconomicrealitiesandalwaysincorporatealltheicallydistributedobservations).SectionVIIdiscussestheinformationav
5、ailabletothemarket.Thisimpliestheab-implicationsoftheresults.senceofexploitableopportunitiesforexcessprofits.Despitethewidespreadbeliefthatmarketsareefficient,anumberofstudieshavesuggestedthatthepricesofsomeII.THEORETICALFOUNDATIONSassetsarenotrationallyrelatedtoeconomicrea
6、lities.Forexample.Summers(1986)arguesthatmarketvaluationsTypicallystandardasset-pricingmodelsimplythemartin-differsubstantiallyandpersistentlyfromrationalvaluationsgalemodel,accordingtowhichtomorrow'spriceisexpectedandthatexistingevidence(basedoncommontechniques)tobethesame
7、astoday'sprice.Symbolically,astochasticdoesnotestablishthatfinancialmarketsareefficient.processx,followsamartingaleifThisstudyinvestigatesmarketefficiencyinCanada'slar-gestandbest-knownstockexchange,theTorontoStockF(vCiV(WExchange(TSE),ThemarketefficiencyoftheTSEisexam-wh
8、ereQ,isthetimetinformationset-assumedtoincludeinedfromanumherofdifferentperspectiv
