LONG-TERM AND SHORT-TERM PRICE MEMORY IN THE STOCK-MARKET

被引：6

作者：

CHOW, KV

DENNING, KC

FERRIS, S

NORONHA, G

机构：

[1] UNIV MISSOURI,COLL BUSINESS & PUBL ADM,DEPT FINANCE,COLUMBIA,MO 65211

[2] W VIRGINIA UNIV,COLL BUSINESS & ECON,MORGANTOWN,WV 26506

[3] OLD DOMINION UNIV,COLL BUSINESS & PUBL ADM,NORFOLK,VA 23529

来源：

ECONOMICS LETTERS | 1995年 / 49卷 / 03期

关键词：

RESCALED RANGE; JANUARY EFFECT; RANDOM WALK; MARKET EFFICIENCY;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 [经济学];

摘要：

In this study we examine the issue of memory in common stock returns through an analysis of short- and long-term dependencies in various equity return series. We conclude that there is no compelling evidence that would support a finding of systematic dependencies in the behavior of equity returns.

引用

页码：287 / 293

页数：7

共 20 条

[1]

Bachelier L., 1900, THEORIE SPECULATION

[2]

BRANCH B, 1977, J BUSINESS APR, P198

[3]

A SIMPLE MULTIPLE VARIANCE RATIO TEST [J].