Real and Spurious Long Memory Properties of Stock Market Data
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.
|Date of creation:||31 May 1996|
|Date of revision:||26 Sep 1996|
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