Positive Autocorrelation of Portfolio Returns in the Korean Stock Markets: Nonsynchronous Trading Effect vs. Partial Price Adjustment

Korean Journal of Financial Studies 2005;34(2):33-77.
Published online May 31, 2005.

한국주식시장에서 포트폴리오 수익률의 양의 1차 자기상관

박종호, 엄경식

Key Words: 부분가격조정가설,비동시성 거래효과,시장미시구조,양(+)의 1차 자기상관,포트폴리오 수익률,Market microstrucuture,Nonsynchronous trading effect,Partial price adjustment process,Portfolio returns,Positive first-order autocorrelation

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