Serial Correlation in Short-period Returns
Summary of Findings
Serial correlations in most markets is small.
Serial Correlation
The systematic relationship between successive observation of a time series.
Serially Independent
A number that is unrelated to the previous number in a given series in any way.
Also called serial correlation.
Autoregressive: Using historical data to predict future data.
serial correlation The correlation of a variable with itself over successive time intervals. Technical... series Options of the same class, strike price, and maturity. Also known as option series or series of options.
Azeredo (2007) shows that traditional pre-1930 consumption measures understate the extent of serial correlation in the U.S. annual real growth rate of per capita consumption of non-durables and services ("consumption growth").
Studies that break down stocks on the basis of market value have found that the serial correlation is more negative in five-year returns than in one-year returns, and is much more negative for smaller stocks rather than larger stocks.
Low serial correlations (around 0.05) exist in the short term; and slightly stronger correlations over the longer term.
The Correlation of a Variable with itself over successive time intervals. Sometimes called serial correlation.
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gold stock price movements are not closely correlated with utility stock price movements because the two are influenced by very different factors. The concept of correlation is frequently used in portfolio analysis. See also serial correlation.
 See also: Analysis, Market, Trading, Short, Average
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