Long memory and non-linearity in Stock Markets
AbstractIn 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 252.
Date of creation: Sep 2006
Date of revision:
Efficient Markets; Long Memory; Nonlinear Models;
Other versions of this item:
- Derek Bond & Kenneth Dyson, 2008. "Long memory and nonlinearity in stock markets," Applied Financial Economics Letters, Taylor and Francis Journals, Taylor and Francis Journals, vol. 4(1), pages 45-48.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-12-04 (All new papers)
- NEP-CFN-2006-12-04 (Corporate Finance)
- NEP-ETS-2006-12-04 (Econometric Time Series)
- NEP-RMG-2006-12-04 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- 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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