Publicação
Some international evidence regarding the stochastic memory of stock returns
| Resumo: | The present paper studies international stock indexes of the G-7 countries in the last 40 years. Evidence about the statistical memory of the returns is presented, and only in one country could the existence of long memory be sustained. These results contradict various previous studies that were based on the R/S analysis and consistently claimed the existence of long memory in financial returns. A general ARFIM A model capable of reproducing long- and short-memory properties is directly fitted to the data. The conclusion is then based on the estimated parameters of the model. |
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| Autores principais: | Crato, Nuno |
| Assunto: | Time Series International Stock Indexes G-7 Countries Stock Returns ARFIMA Model |
| Ano: | 1994 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | The present paper studies international stock indexes of the G-7 countries in the last 40 years. Evidence about the statistical memory of the returns is presented, and only in one country could the existence of long memory be sustained. These results contradict various previous studies that were based on the R/S analysis and consistently claimed the existence of long memory in financial returns. A general ARFIM A model capable of reproducing long- and short-memory properties is directly fitted to the data. The conclusion is then based on the estimated parameters of the model. |
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