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One test of whether assets follow a random walk is to estimate the serial correlation in returns over time With very short time periods, you
One test of whether assets follow a random walk is to estimate the serial correlation in returns over time With very short time periods, you can sometimes get serial correlation that reflects market structure and illiquidity more than inefficiency. If you have a market that is not liquid and you are computing the returns on a market index, which of the following would you expect to find?
positive serial correlation
zero serial correlation
negative serial correlation
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