Long Memory in the Ukrainian Stock Market
AbstractThis paper examines the dynamics of stock prices in Ukraine by estimating the degree of persistence of the PFTS stock market index. Using long memory techniques we show that the log prices series is I(d) with d slightly above 1, implying that returns are characterised by a small degree of long memory and thus are predictable using historical data. Moreover, their volatility, measured as the absolute and squared returns, also displays long memory. Finally, we examine if the time dependence is affected by the day of the week; the results indicate that Mondays and Fridays are characterised by higher dependency, consistently with the literature on anomalies in stock market prices.
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Bibliographic InfoPaper provided by DIW Berlin, German Institute for Economic Research in its series Discussion Papers of DIW Berlin with number 1279.
Length: 20 p.
Date of creation: 2013
Date of revision:
Stock market prices; Efficient market hypothesis; Long memory; Fractional integration;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-03-23 (All new papers)
- NEP-FMK-2013-03-23 (Financial Markets)
- NEP-TRA-2013-03-23 (Transition Economics)
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