Stock Returns Memories: a "Stardust" Memory

Julien Fouquau and Philippe Spieser

Post-Print from HAL

Abstract: This article aims at investigating econometrically the market efficiency concept through an analysis of the dependence structure of stock market index returns. To that purpose, we use a large range of methods in this paper. Six different estimation procedures are applied to obtain the Hurst exponent, starting with the "R/S" approach, continuing with ARFIMA models and ending with wavelet models. We investigate the possible presence of long or short-memory in twelve market indexes between three periods, namely (1960-2013), (1980-2013) and (1990-2013). Our conclusions depend on the degree of financial maturity: most emerging markets display the presence of memory, whereas mature markets show an absence of or very short-memory dynamics.

Keywords: Hurst exponent; ARFIMA models; Wavelet models. (search for similar items in EconPapers)
Date: 2014-02
References: Add references at CitEc
Citations:

Published in Finance, 2014, Volume 35, pp 57-85

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Stock Returns Memories: a “Stardust” Memory? (2014)
Working Paper: Stock Returns Memories: a "Stardust" Memory? (2011)
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: https://EconPapers.repec.org/RePEc:hal:journl:hal-01161602

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().