TITLE

Increasing Market Efficiency: Evidence from the NASDAQ

AUTHOR(S)
Anthony Yanxiang Gu
PUB. DATE
June 2004
SOURCE
American Business Review;Jun2004, Vol. 22 Issue 2, p20
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
This study looks at the changes in the level of autocorrelation in daily returns of the NASDAQ Composite Index and analyzes the relation between return volatility, rate of return, trading volume and autocorrelation. It examines the daily index of the NASDAQ Composite Index from 1971 to 2001. This paper reveals a downward trend of autocorrelation in daily returns for the last ten years. Further research is expected to reveal how technological advances and investors' knowledge and experiences would affect the efficiency of the market.
ACCESSION #
13989141

 

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