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A Unified Approach to Testing for Serial Correlation in Stock Returns

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  • Richardson, Matthew P
  • Smith, Tom
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    Abstract

    This 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.

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    Bibliographic Info

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

    Volume (Year): 67 (1994)
    Issue (Month): 3 (July)
    Pages: 371-99

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    Handle: RePEc:ucp:jnlbus:v:67:y:1994:i:3:p:371-99

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    Web page: http://www.journals.uchicago.edu/JB/

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    Cited by:
    1. 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.
    2. Hjalmarsson, Erik, 2008. "Interpreting long-horizon estimates in predictive regressions," Finance Research Letters, Elsevier, vol. 5(2), pages 104-117, June.
    3. Robert-Paul Berben & W. Jos Jansen, 2005. "Bond Market and Stock Market Integration in Europe," DNB Working Papers 060, Netherlands Central Bank, Research Department.
    4. 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.
    5. 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.).
    6. 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.
    7. Fang, Yue, 2002. "The compass rose and random walk tests," Computational Statistics & Data Analysis, Elsevier, vol. 39(3), pages 299-310, May.
    8. 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.
    9. Nelson Manuel Areal & Manuel Jose Da Rocha Armada, 2002. "The long-horizon returns behaviour of the Portuguese stock market1," European Journal of Finance, Taylor and Francis Journals, vol. 8(1), pages 93-122.
    10. 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.
    11. Daniel, Kent, 2001. "The power and size of mean reversion tests," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 493-535, December.
    12. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc.

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