Une mesure de la persistance dans les indices boursiers

Sanvi Avouyi-Dovi, D. Gu gan and S. Ladoucette

Working papers from Banque de France

Abstract: We identify and examine the presence of the long memory in equity returns and more generally in specific transformations of these returns, on both the US and European stock markets. Taking into account the persistence phenomenon, we analyze the effect of the splitting of the sample period on the one hand, and the impact of the aggregation on the other hand, on the long me-mory process. Our main results show the strongest evidence of long memory presence in the absolute value of the returns.

Keywords: Long memory; Persistence phenomenon; Stock markets. (search for similar items in EconPapers)
JEL-codes: C14 C22 G15 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2002
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:94

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