Volatility and autocorrelation in major European stock markets
This paper models index stock returns for four major European stock markets as conditionally heteroskedastic processes with time dependent serial correlation. The evidence suggests that current returns in these markets are nonlinearly dependent on their past history. The dependence is strong during calm periods and weak during volatile periods and manifests itself as an inverse relationship between first order autocorrelations and volatility. While this relationship is statistically significant in daily returns, it is absent from weekly returns. Additional tests reveal that the nonlinear specification used by LeBaron (1992) is not necessarily the most adequate representation of the short-term dynamics of stock index returns.
Volume (Year): 4 (1998)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/REJF20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/REJF20|
When requesting a correction, please mention this item's handle: RePEc:taf:eurjfi:v:4:y:1998:i:1:p:61-74. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.