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¿Existe memoria larga en mercados bursátiles, o depende del modelo, periodo o frecuencia? (Is there Long Memory in Stock Markets, or Does it Depend on the Model, Period or Frequency?)

Listed author(s):
  • Héctor F. Salazar-Núñez

    ()

    (Escuela Superior de Economía, Instituto Politécnico Nacional. Ciudad de México, México.)

  • Francisco Venegas-Martínez

    ()

    (Escuela Superior de Economía, Instituto Politécnico Nacional. Ciudad de México, México.)

  • Cuauhtémoc Calderón-Villareal

    ()

    (Departamento de Estudios Económicos, Colegio de la Frontera Norte, A.C.)

El presente trabajo cuestiona si realmente existe memoria larga en los principales mercados accionarios del mundo y, en caso de que esta exista, a qué se debe: ¿al tipo de modelos econométricos empleados, al periodo o la frecuencia de los datos? Para ello, se realiza un análisis comparativo entre modelos ARFIMA y GARCH. Los únicos mercados que mostraron resultados consistentes de memoria larga, independientemente del método, periodo y frecuencia, fueron China y Corea del Sur. El primero tiene memoria larga y el segundo, corta.

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File URL: http://www.economia.uanl.mx/revistaensayos/xxxvi/1/1_Francisco_Venegas.pdf
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Article provided by Universidad Autonoma de Nuevo Leon, Facultad de Economia in its journal Ensayos Revista de Economia.

Volume (Year): XXXVI (2017)
Issue (Month): 1 (May)
Pages: 1-24

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Handle: RePEc:ere:journl:v:xxxvi:y:2017:i:1:p:1-24
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  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.
  2. GabJin Oh & Cheol-Jun Um & Seunghwan Kim, 2006. "Statistical Properties of the Returns of Stock Prices of International Markets," Papers physics/0601126, arXiv.org.
  3. Sadique, Shibley & Silvapulle, Param, 2001. "Long-Term Memory in Stock Market Returns: International Evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 59-67, January.
  4. Machinea, José Luis, 2009. "La crisis financiera internacional: su naturaleza y los desafíos de política económica," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
  5. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
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  7. Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, vol. 73(1), pages 285-302, July.
  8. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  9. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  10. Granger, Clive W. J. & Hyung, Namwon, 2004. "Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 399-421, June.
  11. Hiremath, Gourishankar S & Bandi, Kamaiah, 2011. "Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence," MPRA Paper 48517, University Library of Munich, Germany.
  12. Emmanuel Anoruo & Luis Gil-Alana, 2011. "Mean reversion and long memory in African stock market prices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(3), pages 296-308, July.
  13. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  14. John Barkoulas & Christopher Baum & Nickolaos Travlos, 2000. "Long memory in the Greek stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 177-184.
  15. Cheung, Yin-Wong & Lai, Kon S., 1995. "A search for long memory in international stock market returns," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 597-615, August.
  16. repec:ebl:ecbull:v:7:y:2003:i:3:p:1-13 is not listed on IDEAS
  17. Olan Henry, 2002. "Long memory in stock returns: some international evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 12(10), pages 725-729.
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