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Long memory and non-linearity in Stock Markets

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  • Bond, Derek
  • Dyson, Kenneth

Abstract

In this paper the long memory and non-linear properties of share prices in the UK’s Stock Exchange and AIM are explored. The results suggest that the most commonly traded shares exhibit long memory thus raising interesting issues about the validity of normal assumptions of market efficiencies.

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File URL: http://mpra.ub.uni-muenchen.de/252/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 252.

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Date of creation: Sep 2006
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Handle: RePEc:pra:mprapa:252

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Keywords: Efficient Markets; Long Memory; Nonlinear Models;

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  1. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, Elsevier, vol. 105(1), pages 131-159, November.
  2. Gil-Alana, L.A., 2006. "Fractional integration in daily stock market indexes," Review of Financial Economics, Elsevier, Elsevier, vol. 15(1), pages 28-48.
  3. Hamilton, James D, 2001. "A Parametric Approach to Flexible Nonlinear Inference," Econometrica, Econometric Society, Econometric Society, vol. 69(3), pages 537-73, May.
  4. Juan J. Dolado & Jesus Gonzalo & Laura Mayoral, 2002. "A Fractional Dickey-Fuller Test for Unit Roots," Econometrica, Econometric Society, Econometric Society, vol. 70(5), pages 1963-2006, September.
  5. Dahl, Christian M. & Gonzalez-Rivera, Gloria, 2003. "Testing for neglected nonlinearity in regression models based on the theory of random fields," Journal of Econometrics, Elsevier, Elsevier, vol. 114(1), pages 141-164, May.
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