Abstract
The question of dependence of returns has been investigated in many ways. This paper proposes a matrix that sheds some light on many of these dependencies. In particular, overreaction and shock persistence and delayed reaction seem to play important roles and could well explain the presence of nonlinearities in the return series.
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Dacco’, R., Satchell, S.E. (1998). A Data Matrix to Investigate Independence, Overreaction and/or Shock Persistence in Financial Data. In: Refenes, AP.N., Burgess, A.N., Moody, J.E. (eds) Decision Technologies for Computational Finance. Advances in Computational Management Science, vol 2. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-5625-1_4
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DOI: https://doi.org/10.1007/978-1-4615-5625-1_4
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