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https://ptsldigital.ukm.my/jspui/handle/123456789/454343| Title: | Short-term autocorrelation in Australian equities |
| Authors: | Gaunt, Clive Gray, Philip |
| Conference Name: | The thirteenth Annual PACAP/FMA Finance Conference |
| Keywords: | Autocorrelation Random walk hypothesis Market efficiency |
| Conference Date: | 2001-07-05 |
| Conference Location: | Westin Chosun Hotel, Seoul, Korea Radisson Plaza Hotel, Seoul, Korea |
| Abstract: | This paper examines the statistical and economic significance of short-term autocorrelation in Australian equities. We document large negative first-order autocorrelation m individual stock returns. This autocorrelation appears to be economically significant. Two simple trading strategies based on the autocorrelation structure yield large risk-adjusted returns. |
| Pages: | 12 |
| Call Number: | HG4026.A536 2001 katsem |
| URI: | https://ptsldigital.ukm.my/jspui/handle/123456789/454343 |
| Appears in Collections: | Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding |
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