Much of the theoretical basis for current monetary and financial markets. Not surprisingly, considerable effort ahs been expended to test the efficient markets hypothesis, usually in the form of the random walk model for the stock prices. Most earlier studies supported the random walk model, typically finding that the predictable variation in equity returns was both economically and statistically small.
We analysize the volatility of the stock price with the spectral analysis. We find the sources of the variations of stock prices in terms of fluctuation, and decompose it into the long and short components. We find consistent evidence that stock returns are positively serially correlated over short horizon. We give the explanations to this results and study the limitation of our study.
