The U.K. Oil Industry: Some Inferences from the Efficient Market Hypothesis
This study investigates the sensitivity of the prices of London quoted oil company shares to spot oil prices over the period January 1986 to June 1988. The hypothesized positive relationship is strongest for those firms engaged in exploration and weakest for integrated oil companies. The cointegration procedure is employed to assess market efficiency in accordance with the method of Granger and Escribano and noncointegratability implies market efficiency. However, the dynamic versions of the "market model" include lagged responses of portfolio returns to oil price "news" which, in a frictionless market, implies the existence of unexploited gains in the market in these shares. Copyright 1991 by Scottish Economic Society.
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Volume (Year): 38 (1991)
Issue (Month): 4 (November)
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