Real and Spurious Long Memory Properties of Stock Market Data

Ignacio Lobato and N.E. Savin
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N.E. Savin: Univ. of Iowa

Econometrics from University Library of Munich, Germany

Abstract: We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure. Spurious results can be produced by nonstationarity and aggregation. We address these problems by analyzing subperiods of returns and using individual stocks. The test results show no evidence of long memory in the returns. By contrast, there is strong evidence in the squared returns.

JEL-codes: C1 C5 C8 (search for similar items in EconPapers)
Pages: 17 pages
Date: 1996-05-31, Revised 1996-09-26
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Related works:
Journal Article: Real and Spurious Long-Memory Properties of Stock-Market Data (1998)
Working Paper: Real and Spurious Long Memory Properties of Stock Market Data (1996)
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