Article1998

Real and Spurious Long-Memory Properties of Stock-Market Data

332 citations0/0 files storedJournal of Business and Economic Statistics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Complex Systems and Time Series Analysis

Abstract

We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure of Lobato and Robinson. Spurious results can be produced by nonstationarity and aggregation. We address these problems by analyzing subperiods of returns and using individual stocks. The test results show no evidence of long memory in the returns. By contrast, there is strong evidence in the squared returns.

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References

1993A long memory property of stock market returns and a new model 1991Long-Term Memory in Stock Market Prices 1995Gaussian Semiparametric Estimation of Long Range Dependence 1980Long memory relationships and the aggregation of dynamic models 1990The Dynamics of Stock Index and Stock Index Futures Returns 1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets 1992Periodic market closure and trading volume

Cited by

2005Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model 2007Agent-based models of financial markets 2007Fractional integration and structural breaks at unknown periods of time 2004A Simple Long Memory Model of Realized Volatility 2000Long Memory in Stock-Market Trading Volume 1999Equity Trading Volume and Volatility: Latent Information Arrivals and Common Long-Run Dependencies 2009Stochastic Behavioral Asset-Pricing Models and the Stylized Facts

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