Long Memory on the German Stock Exchange

Henryk Gurgul and Tomasz Wójtowicz ()

Czech Journal of Economics and Finance (Finance a uver), 2006, vol. 56, issue 09-10, 447-468

Abstract: In this study, the contributors present the results of their investigations into the long-memory properties of trading volume and the volatility of stock returns (given by absolute returns and alternatively by square returns). Their database is daily stock data of German companies in the DAX segment of the German Stock Exchange. The purpose of these investigations is the calculation of memory parameters and to determine whether there exists the same degree of long memory for trading-volume and return-volatility data. Calculations are performed on daily results from January 1994 to November 2005 and in three sub-periods: January 1994 to December 1997, January 1998 to December 2001, and January 2002 to November 2005.

Keywords: DAX 30; trading volume; univariate and bivariate long memory (search for similar items in EconPapers)
JEL-codes: G14 G35 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:56:y:2006:i:9-10:p:447-468

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