Study of memory effects in international market indices

M.C. Mariani, I. Florescu, M.P. Beccar Varela and E. Ncheuguim

Physica A: Statistical Mechanics and its Applications, 2010, vol. 389, issue 8, 1653-1664

Abstract: Long term memory effects in stock market indices that represent internationally diversified stocks are analyzed in this paper and the results are compared with the S&P 500 index. The Hurst exponent and the Detrended fluctuation analysis (DFA) technique are the tools used for this analysis. The financial time-series data of these indices are tested with the Normalized Truncated Levy Flight to check whether the evolution of these indices is explained by the TLF.

Keywords: EAFE index; International stock market indices; Detrended fluctuation analysis; R/S analysis (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:389:y:2010:i:8:p:1653-1664

DOI: 10.1016/j.physa.2009.12.011

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