Stock Return Autocorrelations: Evidence from the Asia‐Pacific Stock Markets

Abstract

This study uses quantile regression to examine the stock autocorrelations of eight Asian markets for the period 1990–2014. First, we find that the impacts of their previous returns are basically positive under most of the quantiles. Second, if we distinguish previous returns as positive or negative, the basic positive autocorrelations are strengthened. Third, when the previous return soars or plummets, the basic positive autocorrelations are not obviously changed. Last, through the cross‐comparison of two different financial crises, geographical correlations are shown to be a potentially major factor in the spread of the impact of the financial crisis.