Long memory in stock returns: some international evidence
Recent empirical studies suggest that long horizon stock returns are forecastable. While this phenomenon is usually attributed to time varying expected returns, or speculative fads, it may also be due to long memory in the returns series. Long range dependence is investigated using parametric and semiparametric estimators in a sample of nine international stock index returns. The results provide evidence of long memory in the German, Japanese, South Korean and Taiwanese markets.
Volume (Year): 12 (2002)
Issue (Month): 10 ()
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