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Some Relations between Volatility and Serial Correlations in Stock Market Returns

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Author Info
LeBaron, Blake
Abstract

This article explores the relation between serial correlation and volatility for several different stock return series at daily and weekly frequencies. It is found that serial correlations are changing over time and are related to stock return volatility. An extension to the GARCH model is proposed and estimated, revealing parameters consistent with other findings in this article. Copyright 1992 by University of Chicago Press.

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Publisher Info
Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 65 (1992)
Issue (Month): 2 (April)
Pages: 199-219
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Handle: RePEc:ucp:jnlbus:v:65:y:1992:i:2:p:199-219

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  1. Kiseok Nam & Sei-Wan Kim & Augustine. Arize, 2006. "Mean Reversion of Short-Horizon Stock Returns: Asymmetry Property," Review of Quantitative Finance and Accounting, Springer, vol. 26(2), pages 137-163, March. [Downloadable!] (restricted)
  2. Margiora, Philippa & Panaretos, John, 2001. "Autoregressive Conditional Heteroskedasticity Models and the Dynamic Structure of the Athens Stock Exchange," MPRA Paper 6358, University Library of Munich, Germany. [Downloadable!]
  3. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus. [Downloadable!]
  4. Martin T. Bohl & Pierre Siklos, 2004. "Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets," Research Paper Series 137, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
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  5. Hranaiova, Jana, 1999. "Price Behavior In Emerging Stock Markets: Cases Of Poland And Slovakia," Working Papers 7225, Cornell University, Department of Applied Economics and Management. [Downloadable!]
  6. Michael Thorpe, 2005. "Financial Sector Reform in China," CERT Discussion Papers 0502, Centre for Economic Reform and Transformation, Heriot Watt University. [Downloadable!]
  7. Takatoshi Ito & Wen-Ling Lin, 1993. "Price Volatility and Volume Spillovers between the Tokyo and New York Stock Markets," NBER Working Papers 4592, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Ignacio Olmeda & Joaquin Pérez, 1995. "Non-linear dynamics and chaos in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 19(2), pages 217-248, May. [Downloadable!]
  9. Martin T. Bohl & Janusz Brzeszczynski, 2005. "Do Institutional Investors Destabilize Stock Prices? Evidence from an Emerging Market," CERT Discussion Papers 0501, Centre for Economic Reform and Transformation, Heriot Watt University. [Downloadable!]
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  10. Simone Bianco & Roberto Ren\'o, 2006. "Unexpected volatility and intraday serial correlation," Quantitative Finance Papers physics/0610023, arXiv.org. [Downloadable!]
  11. Gagnon, Louis & Karolyi, G. Andrew, 2007. "Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks," Working Paper Series 2006-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  12. Quan-Hoang Vuong, 2002. "Empirical Evidence of Conditional Heteroskedasticity in Vietnam’s Stock Returns Time Series," Working Papers CEB 02-001.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
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