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Long memory and nonlinearity in stock markets

Derek Bond () and Kenneth Dyson

Applied Financial Economics Letters, 2008, vol. 4, issue 1, 45-48

Abstract: In this article the long memory and nonlinear properties of share prices in the UK's stock exchange and alternative investment markets are explored. The results suggest that the most commonly traded shares exhibit long memory. Thus, the validity of market efficiency is questioned.

Date: 2008
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Working Paper: Long memory and non-linearity in Stock Markets (2006) Downloads
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DOI: 10.1080/17446540701367451

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Handle: RePEc:taf:apfelt:v:4:y:2008:i:1:p:45-48