Some Evidence of Persistence in South African Financial Time Series

D Bendel, E vd M Smit and W D Hamman

Studies in Economics and Econometrics, 1996, vol. 20, issue 1, 59-83

Abstract: This article analyses some South African financial time series in order to ascertain whether long-term persistence is present. The technique used is that of Rescaled Range Analysis. The effect of short-term stochastic processes on Rescaled Range Analysis is determined, and methods to eliminate this bias are investigated.Long-term persistence is found for the share indices studied. The evidence for long-term persistence in the gold price is equivocal, and no evidence is found for long-term persistence in the interest and exchange rate series. The presence of long-term persistence in the share indices is incompatible with the weak form of the Efficient Market Hypothesis.

Date: 1996
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03796205.1996.12129089 (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:rseexx:v:20:y:1996:i:1:p:59-83

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rsee20

DOI: 10.1080/03796205.1996.12129089

Access Statistics for this article

Studies in Economics and Econometrics is currently edited by Willem Bester

More articles in Studies in Economics and Econometrics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().