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

Author

Listed:
  • Nankervis, J.C.
  • Savin, N.E.

    (University of Iowa)

  • Lobato, I.

    (University of Iowa)

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.

Suggested Citation

  • Nankervis, J.C. & Savin, N.E. & Lobato, I., 1997. "Testing that Stock Returns Are Uncorrelated Using A General Box-Pierce Q Test," Working Papers 97-14, University of Iowa, Department of Economics.
    • Handle: RePEc:uia:iowaec:97-14
    as

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    More about this item

    Keywords

    STOCK MARKET ; TESTS ; ECONOMICS;
    All these keywords.

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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