Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests

Applied Economics

Volumn 45, Issue 8, 2013, Pages 953-962

  Lim, Kian Ping ^a   Luo, Weiwei ^b   Kim, Jae H ^c  

^a UNIVERSITI MALAYSIA SABAH   (Malaysia)

^b Xiamen City Vocational College   (China)

^c LA TROBE UNIVERSITY   (Australia)

Author keywords

Adaptive markets hypothesis; Autocorrelation test; Evolving return predictability; US stock market; Variance ratio test

Indexed keywords

AUTOCORRELATION; BOOTSTRAPPING; STOCK MARKET; VARIANCE ANALYSIS;

UNITED STATES;

EID: 84863285079     PISSN: 00036846     EISSN: 14664283     Source Type: Journal    
DOI: 10.1080/00036846.2011.613782     Document Type: Article

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