Interaction of volatility and autocorrelation in foreign stock returns

In this paper we model six major foreign stock index returns as conditionally heteroscedastic processes with time dependent autocorrelation. The findings point to a significant inverse relationship between volatility and autocorrelation. This is in agreement with previous findings for the US stock market, suggesting that stock return dynamics are similar across markets.

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Year of publication:	1998
Authors:	Booth, G. Geoffrey ; Koutmos, Gregory
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 5.1998, 11, p. 715-717
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009202694