Long memory in emerging market stock returns
AbstractMany 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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Bibliographic InfoPaper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 650.
Date of creation: 1999
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-02-08 (All new papers)
- NEP-ETS-2001-02-08 (Econometric Time Series)
- NEP-FIN-2001-02-08 (Finance)
- NEP-FMK-2001-02-08 (Financial Markets)
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- 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.
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