Articlehybrid1999

Long Memory in Emerging Market Stock Returns

43 citations0/0 files storedInternational Finance Discussion Paper

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

Abstract

Many authors have investigated the possibility of long memory in asset returns. Generally, very little evidence has been found for long memory in either stock returns or exchange rate returns. This paper applies the log-periodogram regression to a wide range of emerging market stock returns and finds some evidence for positive long memory in 7 of the 17 series considered.

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2016Dynamic efficiency of stock markets and exchange rates 2012An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran 2014Predicting BRICS stock returns using ARFIMA models 2010Long memory and structural breaks in commodity futures markets 2003Long memory in a small stock market 2008LONG MEMORY IN SOUTHERN AFRICAN STOCK MARKETS 2008Efficiency of the South African equity market 2007On the returns generating process and the profitability of trading rules in emerging capital markets

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