An Analysis of Long Memory in Volatility for Asian Stock Markets

Huimin Chung (), William T. Lin and Soushan Wu
Additional contact information
Huimin Chung: Department of Finance and Applications, Tamkang University, Taipei, Taiwan, ROC
William T. Lin: Department of Finance and Applications, Tamkang University, Taipei, Taiwan, ROC
Soushan Wu: Institute of Business and Management, National Chiao-Tung University, Taipei, Taiwan, ROC

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2000, vol. 03, issue 03, 309-330

Abstract: One of the important questions in studies of asset return and volatility has been how long the effects of shocks persist. In this article, the modified R/S statistic of Lo (1991) and the robust semiparametric method of Lobato and Robinson (1997) are applied to investigate the long memory properties in return and volatility of Asian financial markets. For the return series, we find little evidence of long memory, while the empirical results support the hypothesis of long memory in volatility for Asia-Pacific stock markets. We also discuss the possible causes of spurious long memory effect in volatility, namely aggregation, size distortion, and shifts in variance. Our empirical evidence shows that spurious long memory effect in volatility might occur as a result of shifts in variance for some Asian stock markets.

Keywords: long memory in volatility; structure shifts in variance; Asia Pacific stock markets (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2000
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219091500000200
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:wsi:rpbfmp:v:03:y:2000:i:03:n:s0219091500000200

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219091500000200

Access Statistics for this article

Review of Pacific Basin Financial Markets and Policies (RPBFMP) is currently edited by Cheng-few Lee

More articles in Review of Pacific Basin Financial Markets and Policies (RPBFMP) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().