Long memory in the Greek stock market

John Barkoulas, Christopher Baum and Nickolaos Travlos

Applied Financial Economics, 2000, vol. 10, issue 2, 177-184

Abstract: Tests are made of the stochastic long memory in the Greek stock market, an emerging capital market. The fractional differencing parameter is estimated using the spectral regression method. Contrary to findings for major capital markets, significant and robust evidence of positive long-term persistence is found in the Greek stock market. As compared to benchmark linear models, the estimated fractional models provide improved out-of-sample forecasting accuracy for the Greek stock returns series over longer forecasting horizons.

Date: 2000
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Working Paper: Long Memory in the Greek Stock Market (1996)
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DOI: 10.1080/096031000331815

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