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Testing for autocorrelation among common stock returns

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Abstract

We consider the null distribution of autocorrelation coefficients for stock returns when the variance of the returns is infinite. We show that the empirical autocorrelations then tend to zero faster than in the standard case and that they tend, after suitable normalisation, in distribution to a rather complicated nonnormal law. An empirical application to the 14 most busy German stocks reveals that the significance of observed correlations is thereby in general reduced.

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Authors and Affiliations

  1. Fachbereich Statistik, Universität Dortmund, Vogelpothsweg 87, Postfach 50 05 00, D-4600, Dortmund 50

    W. Krämer & R. Runde

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  1. W. Krämer
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  2. R. Runde
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Krämer, W., Runde, R. Testing for autocorrelation among common stock returns. Statistical Papers 32, 311–320 (1991). https://doi.org/10.1007/BF02925507

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  • DOI: https://doi.org/10.1007/BF02925507

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