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Real and Spurious Long Memory Properties of Stock Market Data

Author

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  • I.N. Lobato

    (Univ of Iowa)

  • N.E. Savin

    (Univ. of Iowa)

Abstract

We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure. Spurious results can be produced by nonstationarity and aggregation. We address these problems by analyzing subperiods of returns and using individual stocks. The test results show no evidence of long memory in the returns. By contrast, there is strong evidence in the squared returns.

Suggested Citation

  • I.N. Lobato & N.E. Savin, 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Econometrics 9605004, University Library of Munich, Germany, revised 26 Sep 1996.
    • Handle: RePEc:wpa:wuwpem:9605004
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    References listed on IDEAS

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    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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