The study by Brailsford and Faff (1993)shows that the All-Ordinaries Index exhibits autocorrelation in the order of:

A) $ 0.1 $
B) $ 0.2 $
C) $ 0.5 $
D) $ -0.2 $

Question

The study by Brailsford and Faff (1993)shows that the All-Ordinaries Index exhibits autocorrelation in the order of:

A) $ 0.1 $
B) $ 0.2 $
C) $ 0.5 $
D) $ -0.2 $

Quizplus · Accepted Answer

Numerous tests of autocorrelation have been conducted on financial time series,especially in the stock market.In relation to the stock market,the results from the tests have consistently indicated significant positive short-term autocorrelation.For example,in the case of Australia,Brailsford and Faff (1993)show that daily returns on the All-Ordinaries Index exhibit an autocorrelation coefficient of around 0.2.

The Study by Brailsford and Faff (1993)shows That the All-Ordinaries 0.1 0.1 0.1

The Study by Brailsford and Faff (1993)shows That the All-Ordinaries $0.1$