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Long memory in the ukrainian stock market and financial crises

Listed author(s):
  • Maria Caporale, Guglielmo
  • Gil-Alana, Luis
  • Plastun, Alex
  • Makarenko, Inna

This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different long memory approaches (R/S analysis and fractional integration) we show that this market is inefficient and the degree of persistence is not the same in different stages of the financial crisis. Therefore trading strategies might have to be modified. We also show that data smoothing is not advisable in the context of R/S analysis.

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File URL: https://mpra.ub.uni-muenchen.de/59061/1/MPRA_paper_59061.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 59061.

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Date of creation: Oct 2013
Handle: RePEc:pra:mprapa:59061
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