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Long Memory in the Australian Stock Market

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  • S-H Kang
  • H Nguyen

Abstract

In this paper, we re-examine the evidence of long memory in the Australian stock market. Using the rescaled range analysis, we find evidence of long memory and non-periodic cycles in the All Ordinaries Index. The result suggests that long memory is present in the Australian stock market. Furthermore, we add to the literature by investigating the presence of long memory in the daily ASX 50 index and its 50 constituent stocks using a GPH test proposed by Geweke and Porter-Hudak (1983). The results of individual stocks differ from those of the ASX 50 index and suggest that a common stock index is not representative of all market features.

Suggested Citation

  • S-H Kang & H Nguyen, 2010. "Long Memory in the Australian Stock Market," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 34(2), pages 39-56, August.
    • Handle: RePEc:taf:rseexx:v:34:y:2010:i:2:p:39-56
    DOI: 10.1080/10800379.2010.12097203
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