Long memory and non-linearity in Stock Markets

Derek Bond and Kenneth Dyson

MPRA Paper from University Library of Munich, Germany

Abstract: 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: C22 G14 (search for similar items in EconPapers)
Date: 2006-09
New Economics Papers: this item is included in nep-cfn, nep-ets and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:252

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