STOCK RETURN AUTOCORRELATIONS: SOME FURTHER EVIDENCE

Luke Lin ； Chun I Lee ； Wen-Yuan Lin

《Advances in Investment Analysis and Portfolio Management》 9期 (2019/12) Pp. 15-33

https://doi.org/10.6291/AIAPM.201912_9.0002

摘要

Despite the gulf between the diehard advocates of efficient market hypothesis and many academics as well as industry practitioners, it seems fair to say that the issue of predictability of prices remains unsettled and much remains to be done. Going beyond the ordinary least squares (OLS) result of a positive autocorrelation in the returns on the index and index futures in Taiwan, we document significant variations in autocorrelation, as well as returns, across the spectrum of returns based on quantile regressions. Autocorrelation is significantly positive among higher quantile returns. Additionally, there is clear evidence of asymmetric effects of the sign of past returns on autocorrelation between lower and higher quantile. We further show that in the post-subprime financial crisis, autocorrelation is higher for the lower quantile returns, indicating returns are more sensitive to past returns in bear market. The robustness of these results are exhibited in weekly and monthly returns. Notably, we find fresh evidence of a structure downward shift for lower quantile returns and upward shift for higher quantile returns.

關鍵字

Autocorrelation ； Quantile Regression ； Asymmetric Effects ； Financial Crisis ； Bear Market

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