Long memory in a small stock market

Jussi Tolvi ()
Additional contact information
Jussi Tolvi: University of Turku

Economics Bulletin, 2003, vol. 7, issue 3, 1-13

Abstract: The presence of long memory in Finnish stock market return data is tested using nonparametric methods. The data set has daily returns on six indices and forty companies. Depending on the testing method used, statistically significant long memory is detected in 24% to 67% of the series. This is considerably more than what is usually found in data of this kind.

JEL-codes: C5 G1 (search for similar items in EconPapers)
Date: 2003-05-19
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.accessecon.com/pubs/EB/2003/Volume7/EB-03G10001A.pdf (application/pdf)

Related works:
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:ebl:ecbull:eb-03g10001

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().