Modeling long‐term memory effect in stock prices

Alper Ozun and Atilla Cifter

Studies in Economics and Finance, 2008, vol. 25, issue 1, 38-48

Abstract: Purpose - This paper, using Turkish stock index data, set outs to present long‐term memory effect using chaotic and conventional unit root tests and investigate if chaotic technique as wavelets captures long‐memory better than conventional techniques. Design/methodology/approach - Haar and Daubechies as wavelet‐based OLS estimator and GPH and other classical models are applied in order to investigate the performance of long memory in the time series. Findings - The results indicate that Daubechies wavelet analysis provide the accurate determination for long memory where conventional techniques does not. Originality/value - The research results have both methodological and practical originality. On the theoretical side, the wavelet‐based OLS estimator is superior in modeling the behaviours of the stock returns in emerging markets where non‐linearities and high volatility exist due to their chaotic natures. For practical aims, on the other hand, the results show that the Istanbul Stock Exchange is not in the weak‐form efficient because the prices have memories that are not reflected in the prices, yet.

Keywords: Economic cycles; Stock prices; Emerging markets; Turkey (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

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:eme:sefpps:v:25:y:2008:i:1:p:38-48

DOI: 10.1108/10867370810857559

Access Statistics for this article

Studies in Economics and Finance is currently edited by Prof Niklas Wagner

More articles in Studies in Economics and Finance from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().