𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Long-term memory in stock market returns: international evidence

✍ Scribed by Shibley Sadique; Param Silvapulle

Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
87 KB
Volume
6
Category
Article
ISSN
1076-9307

No coin nor oath required. For personal study only.

✦ Synopsis

Abstract

A lot of recent work has addressed the issue of the presence of long memory components in stock prices because of the controversial implications of such a finding for market efficiency and for martingale models of asset prices used in financial economics and technical trading rules used for forecasting. This paper examines the presence of long memory in the stock returns of seven countries, namely Japan, Korea, New Zealand, Malaysia, Singapore, the USA and Australia. The classical and modified rescaled range tests, the semiparametric test proposed by Geweke and Porter‐Hudak, the frequency domain score test proposed by Robinson and its time‐domain counterpart derived by Silvapulle, are applied to these returns in order to detect the long memory property. Evidence suggests that the Korean, Malaysian, Singapore and New Zealand stock returns are long‐term dependent, indicating that these two markets are not efficient. The results of this study should be useful to regulators, practitioners and derivative market participants, whose success precariously depends on the ability to forecast stock price movements. Copyright © 2001 John Wiley & Sons, Ltd.

📜 SIMILAR VOLUMES

Evidence of long memory in short-term in
Evidence of long memory in short-term interest rates
✍ Nigel Meade; Margaret R. Maier 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 129 KB 👁 1 views

## Abstract The issues of non‐stationarity and long memory of real interest rates are examined here. Autoregressive models allowing short‐term mean reversion are compared with fractional integration models in terms of their ability to explain the behaviour of the data and to forecast out‐of‐sample.

The stochastic volatility in mean model:
The stochastic volatility in mean model: empirical evidence from international stock markets
✍ Professor Siem Jan Koopman; Eugenie Hol Uspensky 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 195 KB

## Abstract In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM model incorporates the unobserved volatility as an explanatory variable in the mean equation. The same extens

The information content in implied idios
The information content in implied idiosyncratic volatility and the cross-section of stock returns: Evidence from the option markets
✍ Dean Diavatopoulos; James S. Doran; David R. Peterson 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 266 KB 👁 1 views

## Abstract Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and