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Long memory in emerging market stock returns

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Author Info
Jonathan H. Wright

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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.

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Publisher Info
Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 650.

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Date of creation: 1999
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Handle: RePEc:fip:fedgif:650

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Related research
Keywords: Stocks ; Stock - Prices ; Time-series analysis CL HG136 A54;

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