Interaction of volatility and autocorrelation: evidence from major stock exchanges

G. Geoffrey Booth (Department of Finance, Louisiana State University, Baton Rouge)
Gregory Koutmos (School of Business, Fairfield University, Fairfield)

Managerial Finance

ISSN: 0307-4358

Publication date: 1 April 1998


Compares stock market returns behaviour for six stock markets in order to find out whether nonlinearities are a result of conditional heteroscedasticity or of previous performance. Uses LeBaron’s exponential generalized autoregressive conditional heteroscedasticity model to link conditional variance with first order correlation. Applies it to daily stock market indexes from 1986 to 1991 in Canada, France, Germany, Italy, Japan and the United Kingdom. Finds that the links exist in all the markets, with high autocorrelation during stable periods, and none under high volatility, for daily but not weekly returns. Concludes that nonsynchronous trading leads to an inverse relationship between volatility and autocorrelation.



Geoffrey Booth, G. and Koutmos, G. (1998), "Interaction of volatility and autocorrelation: evidence from major stock exchanges", Managerial Finance, Vol. 24 No. 4, pp. 56-67.

Download as .RIS




Copyright © 1998, MCB UP Limited

Please note you might not have access to this content

You may be able to access this content by login via Shibboleth, Open Athens or with your Emerald account.
If you would like to contact us about accessing this content, click the button and fill out the form.
To rent this content from Deepdyve, please click the button.