Long-range dependence and market structure

Daniel Cajueiro and Benjamin Tabak

Chaos, Solitons & Fractals, 2007, vol. 31, issue 4, 995-1000

Abstract: In this paper, we have found that although the Dow Jones Average Industrial Index does not possess long-range dependence in mean returns, individual stocks that form the index do. These results were obtained using the Local Whittle estimation procedure. Most stocks seem to be anti-persistent with Hurst exponents below 0.5, which is in line with mean reversion in the long run. Furthermore, open–open returns possess a stronger degree of anti-persistence than close–close returns due to market structure effects.

Date: 2007
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:31:y:2007:i:4:p:995-1000

DOI: 10.1016/j.chaos.2005.10.077

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