摘要：Following Lo and MacKinlay’s work on the U.S. market (1988, 1990), this paper
investigates the autocorrelation of the market index and the cross-autocorrelations of sizesorted
portfolios in the Japanese market. The structure of the cross-autocorrelations in the
Japanese market is very similar to that of the U.S. in the sense that there are lead-lag relations
running from larger stocks to smaller stocks, which will create positive autocorrelation in the
market index. Although we have found no autocorrelation in the popular Japanese TOPIX
market index, it is because TOPIX puts much more weight on larger stocks compared to the
CRSP index for the U.S. market. However, such a cross-autocorrelation structure disappeared
during the latter half of the 1990s, as the largest stocks in the Japanese market began to exhibit
negative autocorrelation. The possibility of a serious financial crisis during this period provides
an explanation for negative autocorrelation. Some empirical evidence is provided for this
explanation.
关键词：Random walk hypothesis; Variance ratio tests; Japanese stock market
