Long memory in a small stock market

Abstract

The presence of long memory in Finnish stock market return data is tested using nonparametric methods. The data set has daily returns on six indices and forty companies. Depending on the testing method used, statistically significant long memory is detected in 24% to 67% of the series. This is considerably more than what is usually found in data of this kind.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 25 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.