Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence

Gourishankar Hiremath and Kamaiah Bandi

MPRA Paper from University Library of Munich, Germany

Abstract: The paper examines the long memory in stock returns of emerging markets. Unlike earlier studies, present study carries out a biased reduced semi-parametric test to detect long memory in mean process and uses diverse and updated data set. The test results finds no strong evidence of long memory in mean process of stock returns both in emerging and developed markets. This is in contract with earlier studies, which conclude that emerging markets in general characterized by long memory process. Hence, long memory is not a peculiar characteristic of emerging markets but appear to be stylized fact of asset returns irrespective of stage of development of the market. Short memory models are thus sufficient to forecast the future returns.

Keywords: Long memory; volatility persistence; mean-reversion; semi-parametric test; hyperbolic decay; market efficiency; Indian Stock Market; NSE; BSE. (search for similar items in EconPapers)
JEL-codes: G0 G1 G12 G14 G17 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published in Economics, Management, and Financial Markets 3.6(2011): pp. 136-147

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:48517

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