Dependency in Pacific basin stock returns

Authors

Wai Chung Lo, City University of Hong Kong
Hung Gay Fung, University of Baltimore
Shaw K. Chen, University of Rhode Island
Gene C. Lai, University of Rhode Island

Document Type

Article

Date of Original Version

1-1-1993

Abstract

Using variance ratio analysis, the random walk property of daily and weekly stock returns for seven Asian Pacific Markets (Hong Kong, Japan, Korea, Malaysia, Singapore, Taiwan, and Thailand) for the period 1975-1991 are examined. The results demonstrate that these returns have significant positive autocorrelation, a finding supporting shortterm memory. Longterm dependency is found only for the South Korean stock market where the longterm memory does not belong to the class of fractional differencing. © 1993.

Publication Title, e.g., Journal

International Review of Financial Analysis

Volume

2

Issue

3

Citation/Publisher Attribution

Lo, Wai Chung, Hung Gay Fung, Shaw K. Chen, and Gene C. Lai. "Dependency in Pacific basin stock returns." International Review of Financial Analysis 2, 3 (1993): 199-210. doi: 10.1016/1057-5219(93)90018-D.