Interaction of volatility and autocorrelation in foreign stock returns

G. Geoffrey Booth and Gregory Koutmos

Applied Economics Letters, 1998, vol. 5, issue 11, 715-717

Abstract: In this paper we model six major foreign stock index returns as conditionally heteroscedastic processes with time dependent autocorrelation. The findings point to a significant inverse relationship between volatility and autocorrelation. This is in agreement with previous findings for the US stock market, suggesting that stock return dynamics are similar across markets.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:5:y:1998:i:11:p:715-717

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DOI: 10.1080/135048598354195

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