Real and Spurious Long-Memory Properties of Stock-Market Data

Ignacio Lobato and N E Savin

Journal of Business & Economic Statistics, 1998, vol. 16, issue 3, 261-68

Abstract: The authors test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure of I. Lobato and P. M. Robinson (1997). Spurious results can be produced by nonstationarity and aggregation. The authors address these problems by analyzing subperiods of returns and using individual stocks. The test results show no evidence of long memory in the returns. By contrast, there is strong evidence in the squared returns.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:16:y:1998:i:3:p:261-68

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