Modeling long-term memory effect in stock prices: A comparative analysis with GPH test and Daubechies wavelets
AbstractPurpose – This paper, using Turkish stock index data, set outs to present long-term memory effect using chaotic and conventional unit root tests and investigate if chaotic technique as wavelets captures long-memory better than conventional techniques. Design/methodology/approach – Haar and Daubechies as wavelet-based OLS estimator and GPH and other classical models are applied in order to investigate the performance of long memory in the time series. Findings – The results indicate that Daubechies wavelet analysis provide the accurate determination for long memory where conventional techniques does not. Originality/value – The research results have both methodological and practical originality. On the theoretical side, the wavelet-based OLS estimator is superior in modeling the behaviours of the stock returns in emerging markets where non-linearities and high volatility exist due to their chaotic natures. For practical aims, on the other hand, the results show that the Istanbul Stock Exchange is not in the weak-form efficient because the prices have memories that are not reflected in the prices, yet.
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Bibliographic InfoArticle provided by Emerald Group Publishing in its journal Studies in Economics and Finance.
Volume (Year): 25 (2008)
Issue (Month): 1 (March)
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Other versions of this item:
- Ozun, Alper & Cifter, Atilla, 2007. "Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets," MPRA Paper 2481, University Library of Munich, Germany.
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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