Access the full text.
Sign up today, get DeepDyve free for 14 days.
References for this paper are not available at this time. We will be adding them shortly, thank you for your patience.
The purpose of this paper is to examine the issue of long memory stock returns of emerging markets. The study carries out a biased reduced semiparametric test to detect long memory in mean process. The results suggest no strong evidence of long memory in mean process of stock returns both in emerging and developed markets. The results are in contrast with earlier studies, which conclude that emerging markets in general characterized by long memory process. Hence, long memory is not a peculiar characteristic of emerging markets but appear to be stylized fact of asset returns irrespective of stage of development of the market. The test results are reliable and preferable to other test of long memory as it reduces bias in the estimation. The results suggest that short memory forecasting methods are relevant for predicting the future returns. JEL Classification: G14, C14, C58 Keywords: long memory, volatility persistence, mean-reversion, semi-parametric test, hyperbolic decay, market efficiency, emerging markets
Economics, Management, and Financial Markets – Addleton Academic Publishers
Published: Jan 1, 2012
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.