Serial correlation in the Spanish Stock Market

被引：16

作者：

DePenya, Francisco J. ^{[1
]}

Gil-Alana, Luis A. ^{[1
]}

机构：

[1] Univ Navarra, Dept Econ, Pamplona, Spain

来源：

GLOBAL FINANCE JOURNAL | 2007年 / 18卷 / 01期

关键词：

Efficient market hypothesis; Random walk; Variance Ratio; Cross-serial correlation;

D O I：

10.1016/j.gfj.2007.01.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 [应用经济学];

摘要：

In this article, we investigate the efficiency of the Spanish Stock Market over time, as this market has become more transparent, larger and more liquid. Using Variance Ratio tests, we find that the most important Spanish equity indexes (IGBM and IBEX35) have been predictable until 1997 on a daily basis, but not after that date. Regarding weekly and monthly index returns, they have been serially uncorrelated since 1972 and, at least 1966, respectively. In addition, we find evidence of cross-serial correlation between small portfolio returns and lagged large portfolio returns, that cannot be explained by autocorrelation and high contemporaneous correlation between portfolios. Instead, partial adjustment to new information seems to be the most plausible explanation. (C) 2007 Elsevier Inc. All rights reserved.

引用

页码：84 / 103

页数：20

共 47 条

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Partial adjustment or stale prices? Implications from stock index and futures return autocorrelations [J].