search query: @indexterm AUTOCORRELATION / total: 12
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| Author: | McKenzie, M.D. Faff, R.W. |
| Title: | The determinants of conditional autocorrelation in stock returns |
| Journal: | Journal of Financial Research
2003 : SUMMER, VOL. 26:2, p. 259-274 |
| Index terms: | Autocorrelation Stock returns |
| Language: | eng |
| Abstract: | It is investigated whether return volatility, trading volume, return asymmetry, business cycles and day-of-the-week are potential determinants of conditional autocorrelation in stock returns. The focus is mainly on the role of feedback trading and the interplay of return volatility. Empirical evidence is presented using conditional autocorrelation estimates generated from multivariate generalized autoregressive conditional heteroskedasticity (M-GARCH) models for individual U.S. stock and index data. |
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