Time-varying long-term Memory in the Tehran Stock Exchange: the Generalized Hurst Exponents and the Rolling Window Approach

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FARZANEGAN ELHAM

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Journal Paper

Paper Information

Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2021 | Volume:8 | Issue:4 (31) Page(s): 39-62

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Information Journal Paper

Title

Time-varying long-term Memory in the Tehran Stock Exchange: the Generalized Hurst Exponents and the Rolling Window Approach

Author(s)

FARZANEGAN ELHAM | Issue Writer Certificate

Keywords

Time-varying long-term memoryQ2

Rolling window approachQ1

Market efficiencyQ1

Generalized Hurst Exponents (GHE)Q2

Tehran Stock ExchangeQ1

Abstract

Objective: This study is the first to examine the issue of Time-varying long-term memory in the Tehran Stock Exchange, using a new efficiency index through a rolling window technique. To test the robustness of the results, this estimation technique is repeated with time windows with 5-day shifts. Furthermore, the wild bootstrap versions of the Automatic Portmanteau test (AQ) and the Automatic Variance Ratio test (AVR) have been performed with 14-and 5-day shifts. Method: The sample employed in this paper consists of daily observations on the Tehran Stock Exchange Index (TEPIX), covering the period from December 2008 to October 2019, making up a total of 2621 observations. The TEPIX series are collected from the Rahavard Novin software. The hypotheses are analyzed by Excel, EViews, R, and MATLAB software. Results: The findings show that in the Tehran Stock Exchange the estimated values of the generalized Hurst exponents (GHE) for all windows with 14-day shifts are over the efficiency indicator 0/5. Therefore, a kind of long-term memory exists on the Tehran Stock Exchange. Moreover, a high degree of inefficiency ratio is observed in the market. Furthermore, the Tehran Stock Exchange does not become more efficient over time. Finally, the results from the time windows with 5-day shifts as well as wild bootstrap versions of the AQ and AVR tests with 14-and 5-day shifts indicate that the previously-mentioned empirical results are robust. The findings from the study provide important implications for investors, portfolio managers, and policy-makers.

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APA: Copy

FARZANEGAN, ELHAM. (2021). Time-varying long-term Memory in the Tehran Stock Exchange: the Generalized Hurst Exponents and the Rolling Window Approach. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 8(4 (31) ), 39-62. SID. https://sid.ir/paper/402640/en

Vancouver: Copy

FARZANEGAN ELHAM. Time-varying long-term Memory in the Tehran Stock Exchange: the Generalized Hurst Exponents and the Rolling Window Approach. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2021;8(4 (31) ):39-62. Available from: https://sid.ir/paper/402640/en

IEEE: Copy

ELHAM FARZANEGAN, “Time-varying long-term Memory in the Tehran Stock Exchange: the Generalized Hurst Exponents and the Rolling Window Approach,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 8, no. 4 (31) , pp. 39–62, 2021, [Online]. Available: https://sid.ir/paper/402640/en

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