A note on the general elections and long memory: evidence from the london stock exchange

The efficient market hypothesis (EHM) in the weak-form reguires that there is no serial correlation between the returns at different times and successive price changes. On the contrary, stock returns displaying statistically significant autocorrelation between obserbations widely separated in time, or long memory, would weaken the properties derived from martingale models for pricing derivatives and other financial assets.

Keywords:

general election , stock market , efficient market hypothesis , long memory model