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Long Memory in the Greek Stock Market

Author

Listed:
  • John T. Barkoulas

    (Boston College)

  • Christopher F. Baum

    (Boston College)

  • Nickolaos Travlos

    (University of Piraeus and Athens Laboratory of Business Administration)

Abstract

We test for stochastic long memory in the Greek stock market, an emerging capital market. The fractional differencing parameter is estimated using the spectral regression method. Contrary to findings for major capital markets, significant and robust evidence of positive long-term persistence is found in the Greek stock market. As compared to benchmark linear models, the estimated fractional models provide improved out-of-sample forecasting accuracy for the Greek stock returns series over longer forecasting horizons.

Suggested Citation

  • John T. Barkoulas & Christopher F. Baum & Nickolaos Travlos, 1996. "Long Memory in the Greek Stock Market," Boston College Working Papers in Economics 356., Boston College Department of Economics.
    • Handle: RePEc:boc:bocoec:356
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    emerging capital markets; long memory; forecasting; ARFIMA processes; spectral regression;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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