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Abstract Correlations among price changes in common stocks of companies in one industry are found to decrease with the length of the interval for which the price changes are measured. This phenomenon seems to be caused by nonstationarity of security price changes and by the existence of correlations between price changes in the same stock—and in different stocks—in successive periods. Although such correlations are not necessarily inconsistent with market efficiency, the data do reveal the presence of lags of an hour or more in the adjustment of stock prices to information relevant to the industry.
T. W. Epps (Fri,) studied this question.