Long‐term memory in stock market returns: international evidence

International Journal of Finance and Economics - Tập 6 Số 1 - Trang 59-67 - 2001
Shibley Sadique1, Param Silvapulle1
1Department of Econometrics and Business Statistics, Monash University, Caulfield, Victoria, Australia.

Tóm tắt

AbstractA lot of 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 Japan, Korea, New Zealand, Malaysia, Singapore, the USA and Australia. The classical and modified rescaled range tests, the semiparametric test proposed by Geweke and Porter‐Hudak, the frequency domain score test proposed by Robinson and its time‐domain counterpart derived by Silvapulle, are applied to these returns in order to detect the long memory property. Evidence suggests that the Korean, Malaysian, Singapore and New Zealand stock returns are long‐term dependent, indicating that these two markets are not efficient. The results of this study should be useful to regulators, practitioners and derivative market participants, whose success precariously depends on the ability to forecast stock price movements. Copyright © 2001 John Wiley & Sons, Ltd.

Từ khóa


Tài liệu tham khảo

10.1086/296451

10.2307/1058862

10.1016/0304-4076(95)01732-1

Baillie R, 1996, Fractionally integrated generalized autoregressive conditional heteroscedasticity, Journal of Econometrics, 74, 30, 10.1016/S0304-4076(95)01749-6

BanikS SilvapulleP.1998Finite sample properties of the testing procedures of seasonal fractional integration. Presented at the 1998 Australasian Econometric Society Meetings Australian National University Canberra 8–10 July.

10.2307/1391309

Cutler D, 1990, Speculative dynamics and role of feedback traders, American Economic Review, 80, 63

10.1016/0927-5398(93)90006-D

10.1016/0304-3932(89)90003-2

10.2307/1912773

10.1111/j.1467-9892.1983.tb00371.x

10.1111/j.1467-9892.1980.tb00297.x

10.1016/0304-405X(77)90006-X

10.1061/TACEAT.0006518

10.1016/S0927-5398(96)00016-3

10.1093/biomet/68.1.165

Hosking JRM, 1982, Time Series Analysis: Theory and Practice 1, 641

Kaen FR, 1986, Predictable behaviour in financial markets: some evidence in support of Heiner's hypothesis, American Economic Review, 76, 212

KurzM..1990Asset prices with rational beliefs. No. 375 Stanford University.

10.1016/0378-3758(95)00051-8

10.2307/2938368

10.1093/rfs/1.1.41

10.2307/2235156

Mandelbrot BB, 1972, Statistical methodology for nonperiodic cycles: from the covariance to R/S analysis, Annals of Economic and Social Measurements, 1, 259

10.1080/758534941

10.1016/0304-405X(88)90021-9

10.1080/01621459.1994.10476881

10.1073/pnas.42.1.43

10.1007/BF01206277

Silvapulle P, 2000, A score test for seasonal fractional integration and cointegration, Econometric Reviews

Silvapulle MJ, 1995, A score test against one‐sided alternatives, The Journal of the American Statistical Association, 429, 1

10.1080/07474939808800402

10.1016/0304-4076(92)90084-5

10.2469/faj.v46.n6.36

Thông tin
Thông tin xuất bản

International Journal of Finance and Economics

Tập 6 Số 1

59-67

Thông tin tác giả