Autoregressive behaviour in the stock market

Abstract: This essay reveals relations between the autoregressive behavior in stocks and relative changes in volume, relative changes in dispersion and the release of earnings announcements. The purpose is to analyze what effect stock return, relative changes in volume, relative changes in dispersion and the release of earnings announcements have on the autoregressive behavior.Our study in general shows that we have a weak efficient market since the stock prices or the stock prices in conjunction with volume or dispersion do not affect the return in consecutive weeks. However, earnings announcements in conjunction with return have a significant impact on the return in the latter week in 50 percent of the cases. Our conclusion is that the release of earnings announcements is a more important factor for the autoregressive behaviour in stocks than relative changes in volume or dispersion.