Testing that Stock Returns Are Uncorrelated Using A General Box-Pierce Q Test

J.C. Nankervis, N.E. Savin () and Ignacio Lobato
Additional contact information
N.E. Savin: University of Iowa

Working Papers from University of Iowa, Department of Economics

Abstract: This paper investigates the problem of testing that stock returns are uncorrelated without assuming statistical independence. This paper presents a generalized Box-Pierce Q statistics, denoted by Q*, which has an asymptotic chi-square distribution when the times series is uncorrelated provided it is a martingale difference sequence.

Keywords: STOCK MARKET; TESTS; ECONOMICS (search for similar items in EconPapers)
JEL-codes: C52 C53 (search for similar items in EconPapers)
Pages: 27 pages
Date: 1997
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uia:iowaec:97-14

Access Statistics for this paper

More papers in Working Papers from University of Iowa, Department of Economics University of Iowa, Department of Economics, Henry B. Tippie College of Business, Iowa City, Iowa 52242. Contact information at EDIRC.
Bibliographic data for series maintained by None ( this e-mail address is bad, please contact ).