Long memory and outliers in stock market returns
Long memory in the form of fractional integration is analysed in stock market returns. Special emphasis is placed on taking into account the potential bias caused by neglected outliers in the data. It is first shown by a simulation experiment that outliers will bias the estimated fractional integration parameter towards zero. In a monthly data set, consisting of stock market indices of 16 OECD countries, statistically significant long memory is found for three countries. In one of these long memory is only found when outliers are first taken into account.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 13 (2003)
Issue (Month): 7 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:13:y:2003:i:7:p:495-502. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.