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Long memory in international equity markets: revisited

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  • Ata Assaf

Abstract

This study provides empirical evidence of the long-range behaviour in international equity markets. We test for long memory in the daily returns using the modified rescaled range statistic R/S proposed by Lo (1991) and the rescaled variance V/S statistic developed by Giraitis et al. (2003). Long memory is found to be weak in the return series when using R/S but some evidence of long memory is found in USA and Germany based on V/S analysis. Our results confirm those reported by Lo (1991) using only the rescaled range analysis and should be useful to regulators, practitioners and derivative market participants, whose success depends on the ability to forecast stock price movements.

Suggested Citation

  • Ata Assaf, 2008. "Long memory in international equity markets: revisited," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(6), pages 433-437.
  • Handle: RePEc:taf:apfelt:v:4:y:2008:i:6:p:433-437
    DOI: 10.1080/17446540701765282
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    1. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.
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