An Explorations of Neo - Austrian Theory Applied to Financial Markets  

Oleh:

Benink, Harald ; Bossaerts, Peter

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 3 (2001), page 1011-1027.
Topik: FINANCIAL; studiesm securities markets; treasury bills; random walk theory; efficient markets
Fulltext: p 1011.pdf (373.99KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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This study attempts to translate Neo - Austrian ideas about the workings of financial markets, as originally advanced by F. A. Hayek, into the standard probabilistic language of modern finance. The focus is on an apparent paradox, namely the insistence of Neo - Austrians on order together with ever-reemerging inefficiencies. The paper's findings have implications beyond Neo - Austrian theory. They demonstrate how easy it is to reject market efficiency, but how much more difficult it is to discern the nature of the inefficiency. The findings are illustrated with price data from the US Treasury bill market over the period 1962 to 1999. There is ample evidence that the price of a 3 - month Treasury bill is not a random walk, yet the sign of the average price change is erratic, so that inference about the nature of the inefficiency is unreliable.

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