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Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development

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Author Info
T. Di Matteo (Universita degli Studi di Salerno)
T. Aste (Australian National University)
Michel M. Dacorogna (Converium)

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Abstract

The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of daily Foreign Exchange rates, Stock Market indices and fixed income instruments by using the generalized Hurst approach. We show that the scaling exponents are associated with characteristics of the specific markets and can be used to differentiate markets in their stage of development. The robustness of the results is tested by both Monte-Carlo studies and a computation of the scaling in the frequency-domain.

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Paper provided by EconWPA in its series Econometrics with number 0503004.

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Length: 25 pages
Date of creation: 08 Mar 2005
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Handle: RePEc:wpa:wuwpem:0503004

Note: Type of Document - pdf; pages: 25. Journal of Banking & Finance
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Web page: http://129.3.20.41

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Keywords: Scaling exponents Time series analysis Multi-fractals

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Find related papers by JEL classification:
C00 - Mathematical and Quantitative Methods - - General - - - General
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
G00 - Financial Economics - - General - - - General
G1 - Financial Economics - - General Financial Markets

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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.:
  1. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188. [Downloadable!] (restricted)
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  3. Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December. [Downloadable!] (restricted)
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  6. Fulvio Corsi & Gilles Zumbach & Ulrich Müller & Michel Dacorogna, 2004. "Consistent high-precision volatility from high-frequency data," Finance 0407005, EconWPA. [Downloadable!]
  7. Peter C.B. Phillips, 1999. "Unit Root Log Periodogram Regression," Cowles Foundation Discussion Papers 1244, Cowles Foundation, Yale University. [Downloadable!]
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  8. Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation, Yale University. [Downloadable!]
  9. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-313, September. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  1. Cornelis A. Los & Bing Yu, 2005. "Persistence Characteristics of the Chinese Stock Markets," Finance 0508008, EconWPA. [Downloadable!]
    Other versions:
  2. Espinosa Méndez, Christian, 2007. "Effect Weekend And Effect Month End In The Chilean Stock Market," MPRA Paper 3252, University Library of Munich, Germany. [Downloadable!]
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