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Real and Spurious Long-Memory Properties of Stock-Market Data

Author

Listed:
  • Lobato, Ignacio N
  • Savin, N E

Abstract

The authors test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure of I. Lobato and P. M. Robinson (1997). Spurious results can be produced by nonstationarity and aggregation. The authors address these problems by analyzing subperiods of returns and using individual stocks. The test results show no evidence of long memory in the returns. By contrast, there is strong evidence in the squared returns.

Suggested Citation

  • Lobato, Ignacio N & Savin, N E, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 261-268, July.
  • Handle: RePEc:bes:jnlbes:v:16:y:1998:i:3:p:261-68
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    References listed on IDEAS

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    1. Brock, W.A. & De Lima, P.J.F., 1995. "Nonlinear Time Series, Complexity Theory, and Finance," Working papers 9523, Wisconsin Madison - Social Systems.
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    6. Madhavan, Ananth & Richardson, Matthew & Roomans, Mark, 1997. "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," Review of Financial Studies, Society for Financial Studies, vol. 10(4), pages 1035-1064.
    7. Greene, Myron T. & Fielitz, Bruce D., 1977. "Long-term dependence in common stock returns," Journal of Financial Economics, Elsevier, vol. 4(3), pages 339-349, May.
    8. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(4), pages 441-468, December.
    9. Brock, William A. & Kleidon, Allan W., 1992. "Periodic market closure and trading volume : A model of intraday bids and asks," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 451-489.
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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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