Faff, Robert W.; McKenzie, Michael D. - In: International Journal of Managerial Finance 3 (2007) April, pp. 191-196
Purpose – This paper empirically assesses the determinants of conditional stock index autocorrelation with particular emphasis on the impact of return volatility that are theoretically linked through the behaviour of feedback traders. Design/methodology/approach – The S&P 100, 500 and the...
