Long Memory on the German Stock Exchange
AbstractIn this study, the contributors present the results of their investigations into the long-memory properties of trading volume and the volatility of stock returns (given by absolute returns and alternatively by square returns). Their database is daily stock data of German companies in the DAX segment of the German Stock Exchange. The purpose of these investigations is the calculation of memory parameters and to determine whether there exists the same degree of long memory for trading-volume and return-volatility data. Calculations are performed on daily results from January 1994 to November 2005 and in three sub-periods: January 1994 to December 1997, January 1998 to December 2001, and January 2002 to November 2005.
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Bibliographic InfoArticle provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.
Volume (Year): 56 (2006)
Issue (Month): 09-10 (September)
DAX 30; trading volume; univariate and bivariate long memory;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy
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