North Africa stock markets: analysis of long memory and persistence of shocks

Ibrahim Onour

International Journal of Monetary Economics and Finance, 2010, vol. 3, issue 2, 101-111

Abstract: This paper investigates long-memory behaviour of stock returns of Egypt, Tunisa and Morrocco stock markets using daily stock price data. Results in the paper support evidence of stationary short-memory process for the returns of the three markets. Short memory of stock returns implies that most recent lagged returns have more predictive power for future returns than long-term factors. It is also indicated in the paper that stock returns volatility behave as a short-memory process. Short-memory behaviour of volatility indicates that the effect of a shock to volatility tends to dissipate within a short period of time.

Keywords: long memory behaviour; volatility; persistence; ARFIMA; FIGARCH; fractionally integrated generalised autoregressive conditional heteroscedasticity; Egypt; Tunisa; Morrocco; stock markets; stock price data; short memory; stock returns. (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmefi:v:3:y:2010:i:2:p:101-111

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