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Dlouhá paměť a její vývoj ve výnosech burzovního indexu PX v letech 1997-2009
[Long-Term Memory and Its Evolution in Returns of Stock Index PX Between 1997 and 2009]

Author

Listed:
  • Ladislav Krištoufek

Abstract

Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictabilty in the underlying process. However, most of the literature interprets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of 0.5. Therefore, we use moving block bootstrap method for rescaled range and periodogram method. In our analysis of evolution of Hurst exponent between 1997 and 2009, we show that PX experienced persistent behavior which weakened in time. Nevertheless, the returns of PX remain close to confidence interval separating independent and persistent behavior.

Suggested Citation

  • Ladislav Krištoufek, 2010. "Dlouhá paměť a její vývoj ve výnosech burzovního indexu PX v letech 1997-2009 [Long-Term Memory and Its Evolution in Returns of Stock Index PX Between 1997 and 2009]," Politická ekonomie, Prague University of Economics and Business, vol. 2010(4), pages 471-487.
    • Handle: RePEc:prg:jnlpol:v:2010:y:2010:i:4:id:742:p:471-487
    DOI: 10.18267/j.polek.742
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    More about this item

    Keywords

    time series analysis; econophysics; long-range dependence; rescaled range; periodogram;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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