Comovements in Stock Prices in the Very Short Run
Correlations among price changes in common stocks of companies in one industry are found to decrease with the length of the interval for which the price changes are measured. This phenomenon seems to be caused by nonstationarity of security price changes and by the existence of correlations between...
| Veröffentlicht in: | Journal of the American Statistical Association. - American Statistical Association, 1922. - 74(1979), 366, Seite 291-298 |
|---|---|
| 1. Verfasser: | |
| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1979
|
| Zugriff auf das übergeordnete Werk: | Journal of the American Statistical Association |
| Schlagworte: | Efficient-markets hypothesis Portfolio theory Financial markets Fisher effect Business Economics Mathematics Information science |