LONG MEMORY IN STOCK RETURNS: A STUDY OF EMERGING MARKETS

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BHATTACHARYA SHARAD NATH; BHATTACHARYA MOUSUMI

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Journal: Interdisciplinary Journal of Management Studies Year:2012 | Volume:5 | Issue:2 Page(s): 67-88

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Title

LONG MEMORY IN STOCK RETURNS: A STUDY OF EMERGING MARKETS

Author(s)

BHATTACHARYA SHARAD NATH | BHATTACHARYA MOUSUMI | Issue Writer Certificate

Keywords

LONG MEMORYQ2

RESCALED RANGEQ2

FRACTIONAL INTEGRATIONQ2

SPECTRAL REGRESSIONQ2

Abstract

The present study aimed at investigating the existence of LONG MEMORY properties in ten emerging stock markets across the globe. When return series exhibit LONG MEMORY, it indicates that observed returns are not independent over time. If returns are not independent, past returns can help predict future returns, thereby violating the market efficiency hypothesis. It poses a serious challenge to the supporters of random walk behavior of the stock returns. Hurst-Mandelbrot's Classical R/S statistic, Lo’s statistic and semi parametric GPH statistic were computed as well as modified GPH statistic of Robinson (1995). The findings suggest existence of LONG MEMORY in volatility as well as in absolute returns and random walk for asset return series in general for all the selected stock market indices. The study did not support existence of Taylor’s effect in the selected emerging markets.

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APA: Copy

BHATTACHARYA, SHARAD NATH, & BHATTACHARYA, MOUSUMI. (2012). LONG MEMORY IN STOCK RETURNS: A STUDY OF EMERGING MARKETS. IRANIAN JOURNAL OF MANAGEMENT STUDIES, 5(2), 67-88. SID. https://sid.ir/paper/240873/en

Vancouver: Copy

BHATTACHARYA SHARAD NATH, BHATTACHARYA MOUSUMI. LONG MEMORY IN STOCK RETURNS: A STUDY OF EMERGING MARKETS. IRANIAN JOURNAL OF MANAGEMENT STUDIES[Internet]. 2012;5(2):67-88. Available from: https://sid.ir/paper/240873/en

IEEE: Copy

SHARAD NATH BHATTACHARYA, and MOUSUMI BHATTACHARYA, “LONG MEMORY IN STOCK RETURNS: A STUDY OF EMERGING MARKETS,” IRANIAN JOURNAL OF MANAGEMENT STUDIES, vol. 5, no. 2, pp. 67–88, 2012, [Online]. Available: https://sid.ir/paper/240873/en

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