Short and Long Run Dependence in Swedish Stock Returns
AbstractThe behaviour of Swedish stock returns over short and long run horizons is analysed. Using monthly data from 1919 to 1995 and, weekly and daily data for the 1980s and first part of the 1990s we hardly found any evidence of long run depend-ence. Using three different tests that are robust to short term dependence and condi- tional hetroskedasticity we found that the modified R/S (rescaled range) test and ARFIMA-GARCH tests provide no support for long run memory in Swedish stock returns. Only the fractional differencing test, GPH, gave a significant result in two cases: for nominal monthly stock returns for the full and the first half of sample at rather high frequency for the spectral analysis.
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Bibliographic InfoPaper provided by Uppsala University, Department of Economics in its series Working Paper Series with number 1996:19.
Length: 17 pp.
Date of creation: 1996
Date of revision:
Publication status: Published in Applied Financial Economics, 1998, pages 435-443.
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Postal: Department of Economics, Uppsala University, P. O. Box 513, SE-751 20 Uppsala, Sweden
Phone: + 46 18 471 25 00
Fax: + 46 18 471 14 78
Web page: http://www.nek.uu.se/
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This paper has been announced in the following NEP Reports:
- NEP-ALL-1998-08-03 (All new papers)
- NEP-FMK-1998-08-03 (Financial Markets)
- NEP-IFN-1998-08-03 (International Finance)
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- Berg, Lennart, 2000.
"Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden,"
Working Paper Series
2000:9, Uppsala University, Department of Economics.
- Lennart Berg, 2003. "Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden," Finnish Economic Papers, Finnish Economic Association, vol. 16(2), pages 61-71, Autumn.
- Berg, L., 2000. "Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweeden," Papers 2000:9, Uppsala - Working Paper Series.
- Kristoufek, Ladislav, 2009. "Distinguishing between short and long range dependence: Finite sample properties of rescaled range and modified rescaled range," MPRA Paper 16424, University Library of Munich, Germany.
- Luis Gil-Alana & Pedro Mendi, 2005. "Fractional integration in total factor productivity: evidence from US data," Applied Economics, Taylor & Francis Journals, vol. 37(12), pages 1369-1383.
- Graflund, Andreas, 2000. "A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Working Papers 2000:8, Lund University, Department of Economics, revised 09 Nov 2000.
- Andreas Graflund, 2000. "A Bayes Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Econometric Society World Congress 2000 Contributed Papers 1363, Econometric Society.
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