 Long-Term Memory in Stock Market Prices: International EvidenceShibley Sadique and
Param Silvapulle
No 1998.10, Working Papers from School of Economics, La Trobe University Abstract: It has been argued that research on market efficiency should be evaluated in terms of whether it improves our ability to predict the time series of security returns. Much recent work has addressed the issue of the presence of long memory components in stock prices because of the controversial implications of such a finding for market efficiency and for martingale models of asset prices used in financial economics and technical trading rules used for forecasting. This paper examines the presence of long memory in the stock returns of seven countries, namely, Australia, Japan, Korea, Malaysia, New Zealand, Singapore and the USA. The classical and modified rescaled range tests, the semi-parametric test proposed by Geweke and Porter-Hudak (1983), the frequency-domain score test proposed by Robinson [1994] and its time-domain counterpart derived by Silvapulle (1996) are applied to these returns in order to detect the long memory property. The evidence suggests that the Korean and the New Zealand stock returns are long-term dependent. Keywords: Financial Market; Time Series; Economic Models (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:trb:wpaper:1998.10 Access Statistics for this paper More papers in Working Papers from School of Economics, La Trobe University Contact information at EDIRC. |
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