EconPapers    
Economics at your fingertips  
 

Long-Term Memory in Stock Market Prices

Andrew Lo ()

Econometrica, 1991, vol. 59, issue 5, 1279-313

Abstract: A test for long-term memory that is robust to short-range dependence is developed. It is a modification of the R/S statistic, and the relevant asymptotic sampling theory is derived via functional central limit theory. Contrary to previous findings, when applied to daily and monthly stock returns indexes over several time periods this test yields no evidence of long-range dependence once short-range dependence is accounted for. Monte Carlo experiments show that the modified R/S test has power against at least two specific models of long-term memory, suggesting that models with short-range dependence may adequately capture the behavior of historical stock returns. Copyright 1991 by The Econometric Society.

Date: 1991
References: Add references at CitEc
Citations View citations in EconPapers (498) Track citations by RSS feed

Downloads: (external link)
http://links.jstor.org/sici?sici=0012-9682%2819910 ... O%3B2-8&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
Working Paper: Long-term memory in stock market prices (1989) Downloads
Working Paper: Long-term Memory in Stock Market Prices (1989) Downloads
Software Item: RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ecm:emetrp:v:59:y:1991:i:5:p:1279-313

Ordering information: This journal article can be ordered from
https://www.economet ... ordering-back-issues

Access Statistics for this article

Econometrica is currently edited by Daron Acemoglu

More articles in Econometrica from Econometric Society Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().

 
Page updated 2017-09-04
Handle: RePEc:ecm:emetrp:v:59:y:1991:i:5:p:1279-313