Testing for long range dependence in banking equity indices

Daniel Cajueiro and Benjamin Tabak

Chaos, Solitons & Fractals, 2005, vol. 26, issue 5, 1423-1428

Abstract: This paper presents empirical evidence of long range dependence in returns and volatility for banking indices for 41 different countries. We employ the Rescaled Hurst analysis and develop a formal statistical procedure to test for long range dependence. This procedure allows to rank these countries by relative inefficiency, which can provide guidance for investors and portfolio managers.

Date: 2005
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:26:y:2005:i:5:p:1423-1428

DOI: 10.1016/j.chaos.2005.03.026

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