On the validity of the weak–form efficient markets hypothesis applied to the London stock exchange: comment

Abstract

The empirical work and interpretation of the results of Al–Loughani and Chappell (1997) is commented upon. On the basis of the reported results, and contrary to the authors' conclusion, it is argued that although the random walk hypothesis is rejected, the weak–form market efficiency hypothesis (WFME), for the London stock exchange cannot be rejected. Some further comments on WFME in the presence of conditional heteroscedasticity are made.