Long Term Dependence in Stock Returns
Christopher Baum () and
John Barkoulas ()
No 314., Boston College Working Papers in Economics from Boston College Department of Economics
This paper investigates the presence of fractal dynamics in stock returns. We improve upon existing literature in two ways: i) instead of rescaled-range analysis, we use the more efficient semi- nonparametric procedure suggested by Geweke and Porter-Hudak (GPH, 1983), and ii) to ensure robustness, we apply the GPH test to a variety of aggregate and sectoral stock indices and individual companies' stock returns series at both daily and monthly frequencies. Our results indicate that fractal structure is not exhibited by stock indices, but it may characterize the behavior of some individual stock returns series.
Keywords: stock returns; long memory; fractal dynamics; spectral regression (search for similar items in EconPapers)
JEL-codes: G12 C14 (search for similar items in EconPapers)
Pages: 12 pages
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Published, Economics Letters, 53:3, 253-259.
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Journal Article: Long-term dependence in stock returns (1996)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:314
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