Increasing Market Efficiency: Evidence from the NASDAQ

Anthony Yanxiang Gu
June 2004
American Business Review;Jun2004, Vol. 22 Issue 2, p20
Academic Journal
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.


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