Abstract
The paper examines the variability of the persistence of order conelation over time among market risks of individual common stocks. A comparison of the stock markets in Helsinki and Stockholm is conducted with different lag structures. In order to maD the time variability of the order persister& a Kalrnan filter approach is utilized for the estimation of the ex ante exoected as well as the ex post market risk. The empirical results cleady show a much lower order persistence among the common stocks on the smaller Helsinki Stock Exchange. As expected, the results also reveal a much higher order persistence among the ex ante market risk expectations than, among the ex post estimates of the market risks. Furthermore, the persistence in the ex ante market risk expectations seems to be high enough for meaning ful use in portfolio management.