Long memory and non-linearity in Stock Markets

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Long memory and non-linearity in Stock Markets

Author Info

Bond, Derek
Dyson, Kenneth

Additional information is available for the following registered author(s):

Derek Bond

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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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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Other versions of this item:

Article
- Derek Bond & Kenneth Dyson, 2008. "Long memory and nonlinearity in stock markets," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(1), pages 45-48. [Downloadable!] (restricted)

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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)

References listed on IDEAS
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.:

Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November. [Downloadable!] (restricted)
Other versions:
- Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Katsumi Shimotsu, 2006. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Working Papers 1061, Queen's University, Department of Economics. [Downloadable!]
Other versions:
- Katsumi Shimotsu, 2002. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Economics Discussion Papers 543, University of Essex, Department of Economics. [Downloadable!]
Hamilton, James D, 2001. "A Parametric Approach to Flexible Nonlinear Inference," Econometrica, Econometric Society, vol. 69(3), pages 537-73, May.
Other versions:
- James Hamilton, 1999. "A Parametric Approach to Flexible Nonlinear Inference," University of California at San Diego, Economics Working Paper Series 1999-03, Department of Economics, UC San Diego. [Downloadable!]
- James D. Hamilton, 1999. "A Parametric Approach to Flexible Nonlinear Inference," University of California at San Diego, Economics Working Paper Series 99-03, Department of Economics, UC San Diego. [Downloadable!]
Gil-Alana, L.A., 2006. "Fractional integration in daily stock market indexes," Review of Financial Economics, Elsevier, vol. 15(1), pages 28-48. [Downloadable!] (restricted)
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, vol. 114(1), pages 141-164, May. [Downloadable!] (restricted)
Jushan Bai & Pierre Perron, 2003. "Computation and analysis of multiple structural change models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 1-22. [Downloadable!]
Other versions:
- BAI, Jushan & PERRON, Pierre, 1998. "Computation and Analysis of Multiple Structural-Change Models," Cahiers de recherche 9807, Universite de Montreal, Departement de sciences economiques. [Downloadable!]

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This page was last updated on 2009-12-10.

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