Autoregressive behaviour in the stock market
(2005)Department of Economics
- Abstract
- This essay reveals relations between the autoregressive behavior in stocks and relative changes in volume, relative changes in dispersion and the release of earnings announcements. The purpose is to analyze what effect stock return, relative changes in volume, relative changes in dispersion and the release of earnings announcements have on the autoregressive behavior. Our study in general shows that we have a weak efficient market since the stock prices or the stock prices in conjunction with volume or dispersion do not affect the return in consecutive weeks. However, earnings announcements in conjunction with return have a significant impact on the return in the latter week in 50 percent of the cases. Our conclusion is that the release of... (More)
- This essay reveals relations between the autoregressive behavior in stocks and relative changes in volume, relative changes in dispersion and the release of earnings announcements. The purpose is to analyze what effect stock return, relative changes in volume, relative changes in dispersion and the release of earnings announcements have on the autoregressive behavior. Our study in general shows that we have a weak efficient market since the stock prices or the stock prices in conjunction with volume or dispersion do not affect the return in consecutive weeks. However, earnings announcements in conjunction with return have a significant impact on the return in the latter week in 50 percent of the cases. Our conclusion is that the release of earnings announcements is a more important factor for the autoregressive behaviour in stocks than relative changes in volume or dispersion. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1335372
- author
- Stille, Henrik and Salomonsson, Joakim
- supervisor
- organization
- year
- 2005
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Market efficiency, autoregressive behavior, dispersion, earnings, volume, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
- language
- English
- id
- 1335372
- date added to LUP
- 2005-03-24 00:00:00
- date last changed
- 2010-08-03 10:50:40
@misc{1335372,
abstract = {{This essay reveals relations between the autoregressive behavior in stocks and relative changes in volume, relative changes in dispersion and the release of earnings announcements. The purpose is to analyze what effect stock return, relative changes in volume, relative changes in dispersion and the release of earnings announcements have on the autoregressive behavior. Our study in general shows that we have a weak efficient market since the stock prices or the stock prices in conjunction with volume or dispersion do not affect the return in consecutive weeks. However, earnings announcements in conjunction with return have a significant impact on the return in the latter week in 50 percent of the cases. Our conclusion is that the release of earnings announcements is a more important factor for the autoregressive behaviour in stocks than relative changes in volume or dispersion.}},
author = {{Stille, Henrik and Salomonsson, Joakim}},
language = {{eng}},
note = {{Student Paper}},
title = {{Autoregressive behaviour in the stock market}},
year = {{2005}},
}