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Serial and cross-correlation in the Spanish Stock Market returns

Author

Listed:
  • Javier DePeña
  • Luis A. Gil-Alana

    (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.

Suggested Citation

  • Javier DePeña & Luis A. Gil-Alana, 2003. "Serial and cross-correlation in the Spanish Stock Market returns," Faculty Working Papers 02/03, School of Economics and Business Administration, University of Navarra.
    • Handle: RePEc:una:unccee:wp0203
    as

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    File URL: http://www.unav.edu/documents/10174/6546776/1132243850_wp0203.pdf
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Market efficiency; random walk; variance ratio; cross-correlation;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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