Tham khảo tài liệu 'handbook of empirical economics and finance _11', tài chính - ngân hàng, tài chính doanh nghiệp phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | Predictability of Asset Returns and the Efficient Market Hypothesis 291 with market volatility. The analysis of time variations in the cross correlation of asset returns is beyond the scope of this chapter. However the interested reader might wish to consult Pesaran and Pesaran 2010 where multivariate conditional volatility models are fitted to weekly returns on equities bonds and currencies. In the case of daily returns equity returns tend to be negatively serially correlated. During normal times they are small and only marginally significant statistically but become relatively large and attain a high level of statistical significance during crisis periods. These properties are illustrated in the following empirical application. The first and second order serial correlation coefficients of daily returns on SP500 over the period January 3 2000 to August 31 2007 are and respectively but increase to and once the sample is extended to the end of August 2009 which covers the 2008 global financial Similar patterns are also observed for other equity indices. For currencies the evidence is more mixed. In the case of major currencies such as euro and yen there is little evidence of serial correlation in returns and this outcome does not seem much affected by whether one considers normal or crisis periods. For other currencies there is some evidence of negative serial correlation particularly at times of crisis. For example over the period January 3 2000 to August 31 2009 the first-order serial correlation of daily returns on Australian dollar amounts to but becomes statistically insignificant if we exclude the crisis period. There is also very little evidence of serial correlation in daily returns on the four major government bonds that we have been considering. This outcome does not depend on whether the crisis period is included in the sample. Irrespective of whether the underlying returns .
