Spurious long-range dependence: evidence from Malaysian equity markets

Wencheong Chin

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, a modified variance aggregated-time approach is used to examine the long-range dependence behaviour of the Malaysian stock exchange. We studied the 20 years daily data which included the pre- and post-economic crises encountered in the Malaysian stock exchange. The unawareness of economic shocks and short-range dependence in all the indices has triggered the spurious long-range dependence in our empirical results. It is also found that the modified approach estimation is robust under the presence of short-range dependence.

Keywords: Keywords: long-range dependence; variance aggregated-time plot; financial time series; self-similar process (search for similar items in EconPapers)
JEL-codes: C01 C13 C22 (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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