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Stock Returns Memories: a “Stardust” Memory?

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  • Julien Fouquau
  • Philippe Spieser

Abstract

This article aims at investigating econometrically the market efficiency concept through an analysis of the dependence structure of stock market index returns. To that purpose, we use a large range of methods in this paper. Six different estimation procedures are applied to obtain the Hurst exponent, starting with the ?R/S? approach, continuing with ARFIMA models and ending with wavelet models. We investigate the possible presence of long or short-memory in twelve market indexes between three periods, namely (1960-2013), (1980-2013) and (1990-2013). Our conclusions depend on the degree of financial maturity: most emerging markets display the presence of memory, whereas mature markets show an absence of or very short-memory dynamics.

Suggested Citation

  • Julien Fouquau & Philippe Spieser, 2014. "Stock Returns Memories: a “Stardust” Memory?," Finance, Presses universitaires de Grenoble, vol. 35(2), pages 57-85.
    • Handle: RePEc:cai:finpug:fina_352_0057
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