TY - JOUR
T1 - I. Was the South Sea Bubble a random walk?
AU - Schachter, Stanley
AU - Gerin, William
AU - Hood, Donald C.
AU - Anderassen, Paul
N1 - Funding Information:
*The Sloan Foundation supported the work described in this and the following two papers with a grant to explore ‘Psychological Dimensions of Economic Theory’. Leon Festinger, Stanley Heshka, Don Morrison, Steven Ross, Tom Schelling and James Scott read early versions of these manuscripts. Some of them liked what they read and others did not but they were all generous with their time and ideas. Many people have worked on aspects of the various studies described. These include Yoav Ganzach, Steven Reich, Michael Rennert and Barry Whittle. To them all we are grateful. Paul Andreassen is presently in the Department of Psychology at Harvard.
PY - 1985/12
Y1 - 1985/12
N2 - Though it is generally accepted that a random walk describes the pattern of successive price changes in the market, a review of research evidence suggests that this is by no means a universal fact. Rather than being a general description of market movement, a random walk appears adequate as a description of some markets and not of others, and during some periods of time but not others. In an attempt to understand some of the determinants of the degree of randomness, serial correlations and the runs test were calculated for daily price changes in the stock of the South Sea Company during 1715, a period of financial uneventfulness and during 1720, the period of speculative mania known as the South Sea Bubble. Market movement was distinctly non-random during 1720.
AB - Though it is generally accepted that a random walk describes the pattern of successive price changes in the market, a review of research evidence suggests that this is by no means a universal fact. Rather than being a general description of market movement, a random walk appears adequate as a description of some markets and not of others, and during some periods of time but not others. In an attempt to understand some of the determinants of the degree of randomness, serial correlations and the runs test were calculated for daily price changes in the stock of the South Sea Company during 1715, a period of financial uneventfulness and during 1720, the period of speculative mania known as the South Sea Bubble. Market movement was distinctly non-random during 1720.
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U2 - 10.1016/0167-2681(85)90001-0
DO - 10.1016/0167-2681(85)90001-0
M3 - Article
AN - SCOPUS:0002640695
SN - 0167-2681
VL - 6
SP - 323
EP - 329
JO - Journal of Economic Behavior and Organization
JF - Journal of Economic Behavior and Organization
IS - 4
ER -