Long memory in return structures from developed markets
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| Format: | Artículo científico |
| Sprache: | en |
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Universidad del País Vasco/Euskal Herriko Unibertsitatea
2013
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| author | Sharad Nath Bhattacharya |
| author_facet | Sharad Nath Bhattacharya |
| contents | Long memory in return structures from developed markets Sharad Nath Bhattacharya Mousumi Bhattacharya Administración y Contabilidad Long memory Rescaled range Spectral regression Fractional integration The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When return series exhibit long memory, the series realizations are not independent over time and past returns can help predict future returns, thus violating the market efficiency hypothesis. It poses a serious challenge to the supporters of random walk behavior of the stock returns indicating a potentially predictable component in the series dynamics. We computed Hurst-Mandelbrot’s Classical R/S statistic, Lo’s statistic and semi parametric GPH statistic using spectral regression. The findings suggest existence of long memory in volatility and random walk for logarithmic return series in general for all the selected stock market indices. Findings are in line with the stylized facts of financial time series. 2013 artículo científico 1131-6837 https://www.redalyc.org/articulo.oa?id=274326464005 en http://www.redalyc.org/revista.oa?id=2743 Cuadernos de Gestión application/pdf Universidad del País Vasco/Euskal Herriko Unibertsitatea Cuadernos de Gestión (España) Num.2 Vol.13 |
| format | Artículo científico |
| id | redalyc_274326464005 |
| institution | Redalyc |
| language | en |
| publishDate | 2013 |
| publisher | Universidad del País Vasco/Euskal Herriko Unibertsitatea |
| spellingShingle | Long memory in return structures from developed markets Sharad Nath Bhattacharya Administración y Contabilidad Long memory Rescaled range Spectral regression Fractional integration Long memory in return structures from developed markets Sharad Nath Bhattacharya Mousumi Bhattacharya Administración y Contabilidad Long memory Rescaled range Spectral regression Fractional integration The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When return series exhibit long memory, the series realizations are not independent over time and past returns can help predict future returns, thus violating the market efficiency hypothesis. It poses a serious challenge to the supporters of random walk behavior of the stock returns indicating a potentially predictable component in the series dynamics. We computed Hurst-Mandelbrot’s Classical R/S statistic, Lo’s statistic and semi parametric GPH statistic using spectral regression. The findings suggest existence of long memory in volatility and random walk for logarithmic return series in general for all the selected stock market indices. Findings are in line with the stylized facts of financial time series. 2013 artículo científico 1131-6837 https://www.redalyc.org/articulo.oa?id=274326464005 en http://www.redalyc.org/revista.oa?id=2743 Cuadernos de Gestión application/pdf Universidad del País Vasco/Euskal Herriko Unibertsitatea Cuadernos de Gestión (España) Num.2 Vol.13 |
| title | Long memory in return structures from developed markets |
| topic | Administración y Contabilidad Long memory Rescaled range Spectral regression Fractional integration |
| url | https://www.redalyc.org/articulo.oa?id=274326464005 |