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Long memory in emerging market stock returns

Author

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  • Jonathan H. Wright

Abstract

Many authors have investigated the possibility of long memory in asset returns. Generally, very little evidence has been found for long memory in either stock returns or exchange rate returns. This paper applies the log-periodogram regression to a wide range of emerging market stock returns and finds some evidence for positive long memory in 7 of the 17 series considered.

Suggested Citation

  • Jonathan H. Wright, 1999. "Long memory in emerging market stock returns," International Finance Discussion Papers 650, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgif:650
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    File URL: http://www.federalreserve.gov/pubs/ifdp/1999/650/default.htm
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    File URL: http://www.federalreserve.gov/pubs/ifdp/1999/650/ifdp650.pdf
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    Cited by:

    1. Hatgioannides, John & Mesomeris, Spyros, 2007. "On the returns generating process and the profitability of trading rules in emerging capital markets," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 948-973, October.
    2. Mansour Zarra-Nezhad & Ali Raoofi & Mohammad Hadi Akbarzdeh, 2016. "The Existence of Long Memory Property in OPEC Oil Prices," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 4(3), pages 142-152, September.

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    Keywords

    Stocks; Stock - Prices; time series analysis;
    All these keywords.

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