Spurious long-range dependence: evidence from Malaysian equity markets
AbstractIn this paper, a modified variance aggregated-time approach is used to examine the long-range dependence behaviour of the Malaysian stock exchange. We studied the 20 years daily data which included the pre- and post-economic crises encountered in the Malaysian stock exchange. The unawareness of economic shocks and short-range dependence in all the indices has triggered the spurious long-range dependence in our empirical results. It is also found that the modified approach estimation is robust under the presence of short-range dependence.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 7914.
Date of creation: 2008
Date of revision:
Keywords: long-range dependence; variance aggregated-time plot; financial time series; self-similar process;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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