Long memory in emerging market stock returns

Jonathan Wright

No 650, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Many authors have investigated the possibility of long memory in asset returns. Generally, very little evidence has been found for long memory in either stock returns or exchange rate returns. This paper applies the log-periodogram regression to a wide range of emerging market stock returns and finds some evidence for positive long memory in 7 of the 17 series considered.

Keywords: Stocks; Stock - Prices; time series analysis (search for similar items in EconPapers)
Date: 1999
New Economics Papers: this item is included in nep-ets, nep-fin and nep-fmk
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:650

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