FURTHER EVIDENCE OF LONG MEMORY IN THE SOUTH AFRICAN STOCK MARKET

Quinton Riccardo Morris · Gary Wayne Van Vuuren · Paul Styger

16 citations0/0 files storedSouth African Journal of Economics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

Abstract

Abstract This paper expands and augments the results of the paper by Jefferis and Thupayagale ) and tests the efficiency of the South African stock market with Wavelet and Markov Switching Regime analyses of selected shares and the a ALSI 40 data. The Wavelet analysis indicated that most of the individual share prices and the share index time series are mean reverting over the long run and follow a long memory process, offering evidence against weak‐form efficient market hypothesis (EMH). The Markov model modelled the financial and prevalent economic conditions accurately and established the presence of patterns in the historic time series, providing additional support against the weak‐form EMH.

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1982Trends and random walks in macroeconmic time series 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1981Fractional Differencing 1996Long memory processes and fractional integration in econometrics 2001Long memory and regime switching 1997Markov-Switching Vector Autoregressions

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