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| Tekijä: | Lo, W. |
| Otsikko: | Dependency in Pacific Basin stock returns |
| Lehti: | International Review of Financial Analysis
1993 : VOL. 2:3, p. 199-210 |
| Asiasana: | STOCK RETURNS PROPERTY KOREA, SOUTH |
| Kieli: | eng |
| Tiivistelmä: | Using variance ratio analysis, the random walk property of daily and weekly stock returns for seven Asian Pacific Markets (Hong Kong, Japan, Korea, Malaysia, Singapore, Taiwan, and Thailand) for the period 1975-1991 are examined. The results demonstrate that these returns have significant positive autocorrelation, a finding supporting shortterm memory. Longterm dependency is found only for the South Korean stock market where the longterm memory does not belong to the class of fractional differencing. |
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