Serial and cross-correlation in the Spanish Stock Market returns
AbstractIn this paper, we test if stock index prices follow random walks in the Spanish Stock Market by means of variance ratios. We find strong evidence of positive autocorrelation for both IGBM and IBEX35 daily returns until 1977, but not after that date. Although weekly and monthly index positive autocorrelations are not significant during the years 1972-2002, there is significant positive monthly cross-correlation between portfolios based on size. In particular, large stock portfolios seem to lead to the small stock ones.
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Bibliographic InfoPaper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 02/03.
Length: 24 pages pages
Date of creation: Jan 2003
Date of revision:
Publication status: Published, Global Finance Journal, 2007, vol. 18: pp. 84-103.
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Web page: http://www.unav.es/facultad/econom
Market efficiency; random walk; variance ratio; cross-correlation;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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- Badrinath, S G & Kale, Jayant R & Noe, Thomas H, 1995. "Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns," Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 401-30.
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- Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
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