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Testing for Sibex Market’s Long-Term Memory

Author

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  • Pochea Maria-Miruna

    („Babeº-Bolyai” University, Faculty of Economics and Business Administration)

Abstract

Long-term memory or long-term dependencies of financial time series’ returns allows testing the efficiency of capital markets. This paper investigates the long-term memory in Sibex market by both static and dynamic approaches. Identifying the long-term memory in futures market can be useful for detecting arbitrage opportunities in this market and thus for managing portfolios of financial assets. For measuring the long-term dependencies we used the Generalized Hurst Exponent because it has the smallest estimation error compared to other methods. The implementation of GHE test on rolling windows allows for robust results concerning the degree of markets’ informational efficiency in time.

Suggested Citation

  • Pochea Maria-Miruna, 2012. "Testing for Sibex Market’s Long-Term Memory," Ovidius University Annals, Economic Sciences Series, Ovidius University of Constantza, Faculty of Economic Sciences, vol. 0(2), pages 1312-1317, Decembre.
    • Handle: RePEc:ovi:oviste:v:xii:y:2012:i:2:p:1312-1317
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    More about this item

    Keywords

    long-term dependencies; futures contracts; Generalized Hurst Exponent; informational efficiency; Sibex.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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