A note on the predictability of UK stock returns

European Journal of Finance

Volumn 13, Issue 2, 2007, Pages 159-164

  Lovatt, David ^a   Boswell, Andrew ^a   Noor, Reza ^a  

^a UNIVERSITY OF EAST ANGLIA   (United Kingdom)

Author keywords

Autocorrelations; UK daily stock returns; Variance ratios

Indexed keywords

EID: 33947523856     PISSN: 1351847X     EISSN: 14664364     Source Type: Journal    
DOI: 10.1080/13518470500378107     Document Type: Article

References (3)

1. Campbell, J.Y., Lo, A. W. and MacKinlay, A. C. (1997) The Econometrics of Financial Markets (Princeton, NJ: Princeton University Press).
2. Chow, K. V. and Denning, K. C. (1993) A simple multiple variance ratio test, Journal of Econometrics, 58, pp. 385-401.
3. Hahn, G. J. and Hendrickson, R. W. (1971) A table of percentage points of the distribution of the largest absolute value of k Student t variates and its applications, Biometrika, 58, pp. 323-332.