A Unified Approach to Testing for Serial Correlation in Stock Returns
AbstractThis article provides a unified approach for testing serial correlation in stock returns. The authors describe a general class of statistics that are linear combinations of consistent estimators of autocorrelations. As special cases, they show that this class captures many of the statistics studied in the recent finance and macroeconomics literature. Using this result, the authors then provide a common perspective on the asymptotic distribution and power of these statistics. Copyright 1994 by University of Chicago Press.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 67 (1994)
Issue (Month): 3 (July)
Contact details of provider:
Web page: http://www.journals.uchicago.edu/JB/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Robert-Paul Berben & W. Jos Jansen, 2005. "Bond Market and Stock Market Integration in Europe," DNB Working Papers 060, Netherlands Central Bank, Research Department.
- Nelson Manuel Areal & Manuel Jose Da Rocha Armada, 2002. "The long-horizon returns behaviour of the Portuguese stock market1," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 93-122.
- Daniel, Kent, 2001. "The power and size of mean reversion tests," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 493-535, December.
- Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2001.
"Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?,"
Journal of Empirical Finance,
Elsevier, vol. 8(4), pages 403-426, September.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0011, Department of Economics at the University of Washington.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 1999. "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0028, University of Washington, Department of Economics.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0011, University of Washington, Department of Economics.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 1999. "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0028, Department of Economics at the University of Washington.
- Erik Hjalmarsson, 2008.
"Interpreting long-horizon estimates in predictive regressions,"
International Finance Discussion Papers
928, Board of Governors of the Federal Reserve System (U.S.).
- Hjalmarsson, Erik, 2008. "Interpreting long-horizon estimates in predictive regressions," Finance Research Letters, Elsevier, vol. 5(2), pages 104-117, June.
- Drama, Bedi Guy Herve & Yao, Shen, 2010. "Management of Stock Price and it Effect on Economic Growth: Case study of West African Financial Markets," MPRA Paper 24907, University Library of Munich, Germany.
- Schultz, Emma & Swieringa, John, 2013. "Price discovery in European natural gas markets," Energy Policy, Elsevier, vol. 61(C), pages 628-634.
- Rashid, Abdul & Husain, Fazal, 2009. "Testing the Weak Form Efficiency in Pakistan’s Equity, Badla and Money Markets," MPRA Paper 22285, University Library of Munich, Germany.
- Fang, Yue, 2002. "The compass rose and random walk tests," Computational Statistics & Data Analysis, Elsevier, vol. 39(3), pages 299-310, May.
- Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc.
- Berben, Robert-Paul & Jansen, W. Jos, 2005.
"Comovement in international equity markets: A sectoral view,"
Journal of International Money and Finance,
Elsevier, vol. 24(5), pages 832-857, September.
- Robert-Paul Berben & W. Jos Jansen, 2003. "Comovement in international equity markets: A sectoral view," Finance 0310001, EconWPA.
- R-P. Berben & W.J. Jansen, 2001. "Comovement in International Equity Markets: a Sectoral View," MEB Series (discontinued) 2001-11, Netherlands Central Bank, Monetary and Economic Policy Department.
- Robert-Paul Berben & W. Jos Jansen, 2009. "Bond market and stock market integration in Europe: a smooth transition approach," Applied Economics, Taylor & Francis Journals, vol. 41(24), pages 3067-3080.
- J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journals Division).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.