Behaviour of Stock Return Autocorrelation in the GCC Stock Markets

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Behaviour of Stock Return Autocorrelation in the GCC Stock Markets

There is overwhelming evidence of the presence of autocorrelation in stock returns in many previous studies. Since stock return correlation is related to predictability of stock prices, it is important to know the extent of autocorrelation and its underlying causes. This article investigates the aut...

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Bibliographic Details
Main Authors:	Chowdhury, H., Rahman, A., Sadique, Shibley
Format:	Journal Article
Published:	Sage Publications 2014
Subjects:	volatility feedback trading GARCH Autocorrelation Gulf Cooperation Council (GCC) markets
Online Access:	http://hdl.handle.net/20.500.11937/3976

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