EconPapers    
Economics at your fingertips  
 

Long memory in international equity markets: revisited

Ata Assaf

Applied Financial Economics Letters, 2008, vol. 4, issue 6, 433-437

Abstract: This study provides empirical evidence of the long-range behaviour in international equity markets. We test for long memory in the daily returns using the modified rescaled range statistic R/S proposed by Lo (1991) and the rescaled variance V/S statistic developed by Giraitis et al. (2003). Long memory is found to be weak in the return series when using R/S but some evidence of long memory is found in USA and Germany based on V/S analysis. Our results confirm those reported by Lo (1991) using only the rescaled range analysis and should be useful to regulators, practitioners and derivative market participants, whose success depends on the ability to forecast stock price movements.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
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:taf:apfelt:v:4:y:2008:i:6:p:433-437

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFL20

Access Statistics for this article

Applied Financial Economics Letters is currently edited by Mark Taylor

More articles in Applied Financial Economics Letters from Taylor and Francis Journals
Series data maintained by Chris Longhurst ().

 
Page updated 2018-03-24
Handle: RePEc:taf:apfelt:v:4:y:2008:i:6:p:433-437