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

Peel, David and Pope, P. (1988) Economic surprises and the behaviour of asset prices: Some analyses and further empirical results. Economics Letters, 27 (4). pp. 375-379. ISSN 0165-1765

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.