Dependency in Pacific basin stock returns

Wai-Chung Lo; Hung-Gay Fung; Shaw K. Chen; Gene C. Lai

doi:10.1016/1057-5219(93)90018-D

Dependency in Pacific basin stock returns

Wai-Chung Lo
, Hung-Gay Fung
, Shaw K. Chen
, Gene C. Lai

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

1 Citation (Scopus)

Abstract

Using variance ratio analysis, the random walk property of daily and weekly stock returns for seven Asian Pacific Markets (Hong Kong, Japan, Korea, Malaysia, Singapore, Taiwan, and Thailand) for the period 1975-1991 are examined. The results demonstrate that these returns have significant positive autocorrelation, a finding supporting shortterm memory. Longterm dependency is found only for the South Korean stock market where the longterm memory does not belong to the class of fractional differencing. © 1993.

Original language	English
Pages (from-to)	199-210
Journal	International Review of Financial Analysis
Volume	2
Issue number	3
DOIs	https://doi.org/10.1016/1057-5219(93)90018-D
Publication status	Published - 1993
Externally published	Yes

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Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].

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@article{049de895daff47429942d633e46196b4,

title = "Dependency in Pacific basin stock returns",

abstract = "Using variance ratio analysis, the random walk property of daily and weekly stock returns for seven Asian Pacific Markets (Hong Kong, Japan, Korea, Malaysia, Singapore, Taiwan, and Thailand) for the period 1975-1991 are examined. The results demonstrate that these returns have significant positive autocorrelation, a finding supporting shortterm memory. Longterm dependency is found only for the South Korean stock market where the longterm memory does not belong to the class of fractional differencing. {\textcopyright} 1993.",

author = "Wai-Chung Lo and Hung-Gay Fung and Chen, \{Shaw K.\} and Lai, \{Gene C.\}",

note = "Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].",

year = "1993",

doi = "10.1016/1057-5219(93)90018-D",

language = "English",

volume = "2",

pages = "199--210",

journal = "International Review of Financial Analysis",

issn = "1057-5219",

publisher = "Elsevier Inc.",

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TY - JOUR

T1 - Dependency in Pacific basin stock returns

AU - Lo, Wai-Chung

AU - Fung, Hung-Gay

AU - Chen, Shaw K.

AU - Lai, Gene C.

N1 - Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].

PY - 1993

Y1 - 1993

N2 - Using variance ratio analysis, the random walk property of daily and weekly stock returns for seven Asian Pacific Markets (Hong Kong, Japan, Korea, Malaysia, Singapore, Taiwan, and Thailand) for the period 1975-1991 are examined. The results demonstrate that these returns have significant positive autocorrelation, a finding supporting shortterm memory. Longterm dependency is found only for the South Korean stock market where the longterm memory does not belong to the class of fractional differencing. © 1993.

AB - Using variance ratio analysis, the random walk property of daily and weekly stock returns for seven Asian Pacific Markets (Hong Kong, Japan, Korea, Malaysia, Singapore, Taiwan, and Thailand) for the period 1975-1991 are examined. The results demonstrate that these returns have significant positive autocorrelation, a finding supporting shortterm memory. Longterm dependency is found only for the South Korean stock market where the longterm memory does not belong to the class of fractional differencing. © 1993.

UR - https://www.scopus.com/pages/publications/43949171694

UR - https://www.scopus.com/pages/publications/43949171694#tab=impact

U2 - 10.1016/1057-5219(93)90018-D

DO - 10.1016/1057-5219(93)90018-D

M3 - RGC 21 - Publication in refereed journal

SN - 1057-5219

VL - 2

SP - 199

EP - 210

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

IS - 3

ER -

Dependency in Pacific basin stock returns

Abstract

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