I've been examining the returns of a few government bond series around the world. I found out that some have a positive daily autocorrelation. It's not big, but still seems at odds with efficiency. These are bonds of developed countries too. I'd expect a possibly negative autocorrelation at best, as you see in the U.S. for instance. Not sure where it is coming from..Anybody have any ideas?

  • $\begingroup$ Which bonds in particular and Ill try and replicate and see how large the AR is. $\endgroup$ – Jake Freeman Aug 26 '19 at 15:29
  • $\begingroup$ They are in the order of 0.1. R^2 is low, around 1%. But, they are highly significant. $\endgroup$ – DANIEL Aug 26 '19 at 15:49
  • $\begingroup$ It is also robust to subsamples. There's no reason for it to be there even if you can't act on it. $\endgroup$ – DANIEL Aug 26 '19 at 15:50

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