Return autocorrelations in the stock markets

Chen, Chun-Da

Applied Economics Letters, 2009, vol. 16, issue 9, pages 907-911

Abstract: This article investigates the return autocorrelation in four stock markets around the Asia-Pacific rim: the USA, Japan, Taiwan and South Korea. The results indicate that there are conditional return autocorrelation in Taiwan's and South Korea's stock markets for daily data. Moreover, there are negative relationships between autocorrelation and two factors (trading volume and return volatility) significantly in Taiwan and South Korea, implying that the stock markets in Taiwan and South Korea are not as efficient as those in developed countries (the USA and Japan). For weekly data, however, none of the above four markets has significant return autocorrelation.

Date: 2009

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