Which of the following is not true about serial correlation?
A) It measures the correlation between the current return on a security and the current return on another security.
B) It involves only one security.
C) Positive serial correlation indicates a tendency for continuation.
D) Negative serial correlation indicates a tendency toward reversal.
E) Significant positive or negative serial correlation coefficients are indicative of market inefficiency in the weak form.

Question

Quizplus · Accepted Answer

Serial correlation measures the correlation between the current return on a security and its own past returns, not the returns on another security.

Which of the Following Is Not True About Serial Correlation