LONG MEMORY AND SAMPLING FREQUENCIES: EVIDENCE IN STOCK INDEX FUTURES MARKETS

Shwu-Jane Shieh ()
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Shwu-Jane Shieh: Department of International Trade, College of Commerce, National Cheng-Chi University, Taipei, Taiwan, R.O.C.

International Journal of Theoretical and Applied Finance (IJTAF), 2006, vol. 09, issue 05, 787-799

Abstract: The long-term dependent behavior in the close prices of the S&P 500, Nikkei 225, and Dow Jones index futures contracts are investigated by using the ARFIMA (p, d, q) model to estimate the order of the fractional integration parameters for a large range of sampling frequencies: from one-minute to monthly frequencies. The empirical evidence shows that the close prices exhibit anti-persistence properties for most of the sampling frequencies. This suggests that the contrarian's trading strategies in relation to stock index futures markets have a positive value. Moreover, the empirical evidence indicates that the higher frequency of the data, the stronger degree of contrarian behaviors, particularly for S&P 500 and Dow Jones stock index futures contracts.

Keywords: Long memory; detrended fluctuation analysis; contrarian strategy; ARFIMA (p; d; q) (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (8)

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DOI: 10.1142/S0219024906003780

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