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Return autocorrelations in the stock markets

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  • Chun-Da Chen

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.

Suggested Citation

  • Chun-Da Chen, 2009. "Return autocorrelations in the stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 16(9), pages 907-911.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:9:p:907-911
    DOI: 10.1080/17446540802314535
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    Cited by:

    1. Warren Dean & Robert Faff, 2011. "Feedback trading and the behavioural ICAPM: multivariate evidence across international equity and bond markets," Applied Financial Economics, Taylor & Francis Journals, vol. 21(22), pages 1665-1678.
    2. Gębka, Bartosz & Wohar, Mark E., 2013. "The determinants of quantile autocorrelations: Evidence from the UK," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 51-61.

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