Table 2.2: Autocorrelation functions of daily returns. For every data series the estimated autocorrelations are shown up to order 20. a, b, c means that the corresponding autocorrelation is significant at the 1%, 5%, 10% significance level with Bartlett (1946) standard errors. ***, **, * means that the corresponding autocorrelation is significant at the 1%, 5%, 10% significance level with Diebold (1986) heteroskedasticity-consistent standard errors.

  CSCE       LIFFE      
k 83:1-97:6 83:1-87:12 88:1-92:12 93:1-97:6 83:1-97:6 83:1-87:12 88:1-92:12 93:1-97:6
1 -0.0007 0.0328 -0.0112 -0.0277 0.0300c 0.0083 0.0456 0.0253
2 -0.0515a*** -0.0611b* -0.0524c -0.0438 -0.0378b** -0.0178 -0.0437 -0.0567c*
3 0.0038 0.0004 0.0086 -0.0036 0.0122 0.0538c* 0.0155 -0.047
4 -0.0023 -0.0007 0.0031 -0.017 0.0368b* -0.0065 0.0493c 0.0671b*
5 0.0106 -0.012 0.0141 0.0314 0.0163 0.0605b* -0.0027 -0.0048
6 -0.0192 -0.0263 0.0022 -0.0519c -0.0279c 0.0016 -0.026 -0.0704b**
7 -0.0065 -0.0155 -0.0101 0.0115 -0.0087 -0.0193 -0.036 0.0454
8 0.0062 -0.0499c 0.0255 0.0344 0.0066 -0.0068 0.0188 -0.0063
9 -0.0072 0.005 -0.0167 -0.0078 0.0217 0.0202 0.0293 0.0041
10 -0.0014 -0.0387 0.0094 0.0265 0.0398b** -0.0198 0.0662b** 0.0654b*
11 -0.024 -0.0352 -0.022 -0.0162 0.0001 -0.0012 -0.0216 0.026
12 -0.018 0.0431 -0.0613b** -0.0236 -0.0173 0.0409 -0.0649b** -0.0168
13 -0.0135 -0.0112 -0.0008 -0.046 -0.0011 0.0471c -0.0131 -0.0426
14 0.0052 0.0372 0.0005 -0.0302 0.0176 0.0002 0.0444 -0.0098
15 0.0193 0.0024 0.0437 -0.0041 0.0151 0.0357 0.0239 -0.0223
16 -0.0141 0.0049 -0.0377 0.001 0.0098 0.1279a*** -0.0775a** 0.004
17 -0.0076 0.0312 -0.0384 0.0011 -0.0193 -0.0307 -0.0257 0.0054
18 0.0156 -0.0295 0.0565b* 0.0003 0.004 -0.0209 0.0488c -0.0287
19 0.0093 -0.005 0.0135 0.0194 0.0399b** 0.0089 0.0433 0.0669b**
20 0.0135 -0.0083 0.0475c -0.0243 0.0072 -0.0306 0.0221 0.0152

  BPDo      
k 83:1-97:6 83:1-87:12 88:1-92:12 93:1-97:6
1 0.0833a*** 0.1025a*** 0.1085a*** -0.0132
2 0.0241 0.0201 0.0165 0.0477
3 -0.0158 -0.0099 -0.0192 -0.0151
4 0.0016 -0.0313 0.0359 -0.0029
5 0.0343b* 0.0266 0.0958a*** -0.0605b
6 -0.0034 0.0286 -0.0135 -0.0411
7 -0.0303c -0.0081 -0.0598b** -0.022
8 0.0280c 0.0479c 0.025 -0.0074
9 0.0121 -0.0221 0.0357 0.0299
10 -0.0048 -0.0570b* 0.0414 0.0158
11 -0.0021 -0.0127 0.0203 -0.0246
12 -0.0203 -0.0439 -0.0068 -0.0044
13 -0.0079 -0.0087 0.0031 -0.0114
14 0.0268 0.0211 0.0386 0.0128
15 0.0305c 0.0527c 0.0478c -0.0641b*
16 -0.0009 -0.0305 0.0277 -0.0079
17 0.0131 -0.0053 0.0085 0.0487
18 -0.0341b* -0.0051 -0.0635b** -0.0059
19 -0.0131 0.0143 -0.01 -0.0366
20 0.0103 0.0232 0.0035 -0.0177
77