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A Nonparametric Distribution-Free Test for Serial Independence in Stock Returns: A Comment
Published online by Cambridge University Press: 06 April 2009
Extract
We have confirmed that Corrado and Schatzberg's (1990) criticism of our test for serial independence in stock returns (Ashley and Patterson (1986)) is correct. The corrected results still favor rejection of the null hypothesis that the daily returns for several stocks (notably Holly Sugar (HLY) and E Systems (ESY)) are serially independent, but only at the 12-percent and 14-percent significance levels, respectively. Evidently, this kind of test is long on simplicity and intuitive appeal, but short on power.
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- Research Article
- Information
- Journal of Financial and Quantitative Analysis , Volume 25 , Issue 3 , September 1990 , pp. 417 - 418
- Copyright
- Copyright © School of Business Administration, University of Washington 1990
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