Serial and cross-correlation in the Spanish Stock Market returns

Javier DePeña () and Luis Gil-Alana

No 02/03, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

Abstract: In this paper, we test if stock index prices follow random walks in the Spanish Stock Market by means of variance ratios. We find strong evidence of positive autocorrelation for both IGBM and IBEX35 daily returns until 1977, but not after that date. Although weekly and monthly index positive autocorrelations are not significant during the years 1972-2002, there is significant positive monthly cross-correlation between portfolios based on size. In particular, large stock portfolios seem to lead to the small stock ones.

Keywords: Market efficiency; random walk; variance ratio; cross-correlation (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2003-01-01
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Published, Global Finance Journal, 2007, vol. 18: pp. 84-103.

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