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|Title:||AUTOCORRELATION BEHAVIOUR OF THE SINGAPORE STOCK MARKET||Authors:||YIT CHWEE FUNG||Issue Date:||1994||Citation:||YIT CHWEE FUNG (1994). AUTOCORRELATION BEHAVIOUR OF THE SINGAPORE STOCK MARKET. ScholarBank@NUS Repository.||Abstract:||Autocorrelation of daily and weekly stock returns is used as a rough measure of market efficiency. Theoretically speaking, market efficiency implies statistical and/or economical insignificance of the autocorrelation coefficients. A comprehensive study on the autocorrelation behaviour of the Singapore stock market covering the period of 1987 to 1993 is conducted. This paper presents evidence of significant portfolio autocorrelation on daily and weekly returns. It is found that nonsychronous trading can account for the observed daily autocorrelation but not for weekly autocorrelation. However, there is no abnormal returns to be made when a filter rule is applied to the portfolios. Generally, the findings of the study are consistent with the efficient market hypothesis.||URI:||https://scholarbank.nus.edu.sg/handle/10635/170401|
|Appears in Collections:||Bachelor's Theses|
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