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Long Memory in the Australian Stock Market

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Author Info
Sang-Hoon Kang (University of South Australia)
Hoa Nguyen () (Deakin University)
Abstract

In this paper, we re-examine the evidence of long memory in the Australian stock market. Using the rescaled range analysis, we find evidence of long memory and non-periodic cycles in the All Ordinaries Index. The result suggests that long memory is present in the Australian stock market. Furthermore, we add to the literature by investigating the presence of long memory in the daily ASX 50 index and its 50 constituent stocks using a GPH test proposed by Geweke and Porter-Hudak (1983). The results of individual stocks differ from those of the ASX 50 index and suggest that a common stock index is not representative of all market features.

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File URL: http://www.deakin.edu.au/buslaw/aef/workingpapers/papers/2007_18aef.pdf
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Publisher Info
Paper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Accounting, Finance, Financial Planning and Insurance Series with number 2007_18.

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Length: 22 pages
Date of creation: 24 Oct 2007
Date of revision:
Handle: RePEc:dkn:acctwp:aef_2007_18

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Related research
Keywords: long memory; persistence; rescaled range analysis; GPH test;

References listed on IDEAS
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  1. McKenzie, Michael D, 2001. "Non-periodic Australian Stock Market Cycles: Evidence from Rescaled Range Analysis," The Economic Record, The Economic Society of Australia, vol. 77(239), pages 393-406, December. [Downloadable!] (restricted)
  2. Barkoulas, John T & Baum, Christopher F & Travlos, Nickolaos, 2000. "Long Memory in the Greek Stock Market," Applied Financial Economics, Taylor and Francis Journals, vol. 10(2), pages 177-84, April. [Downloadable!] (restricted)
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  3. Jussi Tolvi, 2003. "Long memory and outliers in stock market returns," Applied Financial Economics, Taylor and Francis Journals, vol. 13(7), pages 495-502, January. [Downloadable!] (restricted)
  4. Howe, John S. & Martin, Deryl W. & WoodJr., Bob G., 1999. "Much ado about nothing: Long-term memory in Pacific Rim equity markets," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 139-151, June. [Downloadable!] (restricted)
  5. Cheung, Yin-Wong & Lai, Kon S., 1995. "A search for long memory in international stock market returns," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 597-615, August. [Downloadable!] (restricted)
  6. Henry, Olan T, 2002. "Long Memory in Stock Returns: Some International Evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 12(10), pages 725-29, October. [Downloadable!] (restricted)
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