کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9726034 | 1477965 | 2005 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Modeling conditional return autocorrelation
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Empirical estimates of conditional return autocorrelation are generated over the period 1973 to 2000 for S&P500 index data, as well as for a small selection of individual U.S. stocks. We find that conditional autocorrelation is highly variable, and these dynamics are consistent with changes in point autocorrelation estimates generated in various subperiods. The conditional autocorrelation estimates for some stocks exhibited a pattern of mean reversion, while for others, evidence of long-term trends and structural breaks was found. While we were unable to uncover what characteristics drive the nature of these autocorrelation patterns, our analysis ruled out industry, investor type or degree of internationalisation as explanations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 14, Issue 1, 2005, Pages 23-42
Journal: International Review of Financial Analysis - Volume 14, Issue 1, 2005, Pages 23-42
نویسندگان
Michael D. McKenzie, Robert W. Faff,