Koong, C.S.; Tsui, Albert K.; Chan, W.S. - In: Mathematics and Computers in Simulation (MATCOM) 43 (1997) 3, pp. 445-449
There has been growing interest in studying the behaviour of stock returns over long and short horizons. Previous studies showed that while autocorrelations in returns usually are positive or close to zero over short horizons, they become negative over long horizons. In this article, we examine...