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Long memory in return structures from developed markets

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  • Bhattacharya, Sharad Nath
  • Bhattacharya, Mousumi

Abstract

[En]The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When return series exhibit long memory, the series realizations are not independent over time and past returns can help predict future returns, thus violating the market efficiency hypothesis. It poses a serious challenge to the supporters of random walk behavior of the stock returns indicating a potentially predictable component in the series dynamics. We computed Hurst-Mandelbrot’s Classical R/S statistic, Lo’s statistic and semi parametric GPH statistic using spectral regression. The findings suggest existence of long memory in volatility and random walk for logarithmic return series in general for all the selected stock market indices. Findings are in line with the stylized facts of financial time series.

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  • Bhattacharya, Sharad Nath & Bhattacharya, Mousumi, 2013. "Long memory in return structures from developed markets," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
    • Handle: RePEc:ehu:cuader:10261
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    2. Mahalingam GAYATHRI & Murugesan SELVAM & Kasilingam LINGARAJA & Vinayagamoorthi VASANTH & Venkatraman KARPAGAM, 2013. "Fractal Dimension of S&P CNX Nifty Stock Returns," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 3(9), pages 1166-1190, September.

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