Long memory and non-linearity in Stock Markets
Derek Bond () and
MPRA Paper from University Library of Munich, Germany
In this paper the long memory and non-linear properties of share prices in the UK’s Stock Exchange and AIM are explored. The results suggest that the most commonly traded shares exhibit long memory thus raising interesting issues about the validity of normal assumptions of market efficiencies.
Keywords: Efficient Markets; Long Memory; Nonlinear Models (search for similar items in EconPapers)
JEL-codes: G14 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-ets and nep-rmg
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https://mpra.ub.uni-muenchen.de/252/1/MPRA_paper_252.pdf original version (application/pdf)
Journal Article: Long memory and nonlinearity in stock markets (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:252
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