Short-term autocorrelation in Australian equities

Clive Gaunt and Philip Gray (2003) Short-term autocorrelation in Australian equities. Australian Journal of Management, 28 1: 97-117.

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Author Clive Gaunt
Philip Gray
Title Short-term autocorrelation in Australian equities
Journal name Australian Journal of Management   Check publisher's open access policy
ISSN 0312-8962
Publication date 2003
Sub-type Article (original research)
Open Access Status File (Author Post-print)
Volume 28
Issue 1
Start page 97
End page 117
Total pages 21
Editor R. Marks
Place of publication Sydney
Publisher Australian Graduate School of Management
Collection year 2003
Language eng
Subject C1
350301 Finance
710401 Finance and investment services
Abstract This paper examines the statistical and economic significance of short-term autocorrelation in Australian equities. We document large negative first-order autocorrelation in individual stock returns. Preliminary results suggest this autocorrelation is economically significant, as two simple trading strategies based on the autocorrelation structure appear to yield large risk-adjusted returns. Further analysis, however, shows that these results are driven by the inclusion of small-capitalisation and low-priced stocks which are vulnerable to a number of market-microstructure-related problems. After revising the dataset to mitigate these problems, little evidence of economic significance remains.
Keyword Autocorrelation
Economic significance
Random walk hypothesis
Market efficiency
Q-Index Code C1

Document type: Journal Article
Sub-type: Article (original research)
Collections: Excellence in Research Australia (ERA) - Collection
2004 Higher Education Research Data Collection
UQ Business School Publications
 
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Created: Tue, 14 Aug 2007, 19:09:19 EST