Stock Index Autocorrelation and Cross-autocorrelations of Size-sorted Portfolios in the Japanese Market
Year of publication: |
2007
|
---|---|
Authors: | Iwaisako, Tokuo |
Published in: |
Hitotsubashi Journal of Economics. - Graduate School of Economics. - Vol. 48.2007, 1, p. 95-112
|
Publisher: |
Graduate School of Economics |
Subject: | Random walk hypothesis | Variance ratio tests | Japanese stock market |
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