Stock Index Autocorrelation and Cross-autocorrelations of Size-sorted Portfolios in the Japanese Market

Tokuo Iwaisako and 得夫 祝迫

Hitotsubashi Journal of Economics, 2007, vol. 48, issue 1, 95-112

Keywords: Random walk hypothesis; Variance ratio tests; Japanese stock market (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:hit:hitjec:v:48:y:2007:i:1:p:95-112

DOI: 10.15057/13795

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