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Time-varying persistence in the German stock market

Author

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  • Karl-Kuno Kunze
  • Hans Gerhard Strohe

Abstract

This paper studies the persistence of daily returns of 21 German stocks from 1960 to 2008. We apply a widely used test based upon the modified R/S-Method by Lo [1991]. As an extension to Lux [1996] and Carbone et al. [2004] and in analogy to moving average or moving volatility, the statistics is calculated for moving windows of length 4, 8, and 16 years for every time series. Periods of persistence or long memory in returns can be found in some but not all time series. Robustness of results is verified by investigating stationarity and short memory effects.

Suggested Citation

  • Karl-Kuno Kunze & Hans Gerhard Strohe, 2010. "Time-varying persistence in the German stock market," Statistische Diskussionsbeiträge 37, Universität Potsdam, Wirtschafts- und Sozialwissenschaftliche Fakultät.
  • Handle: RePEc:pot:statdp:37
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    File URL: http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-42046
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    Keywords

    persistence; stock market;

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