Long-term memory in financial prices: evidence from the Dutch stock market returns

Bibliographic Details
Main Author: Gomes, Luís
Publication Date: 2014
Other Authors: Soares, Vasco J. S., Gama, Sílvio M. A., Matos, José A. O.
Format: Article
Language: eng
Source: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Download full: http://hdl.handle.net/10400.22/4840
Summary: Prepared for presentation at the Portuguese Finance Network International Conference 2014, Vilamoura, Portugal, June 18-20
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spelling Long-term memory in financial prices: evidence from the Dutch stock market returnsLong-term memoryEconophysicsDetrended fluctuation analysisPersistenceHurst exponentRescaled-range analysisPrepared for presentation at the Portuguese Finance Network International Conference 2014, Vilamoura, Portugal, June 18-20The purpose of this paper is to contribute to the discussion of long-term memory, focusing on the behavior of the main Dutch stock index.The analysis of the general characteristics of temporal frequency reveals that daily returns are non-ergodic, non-stationary and non-independent. Consequently, we have employed the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA), under the fractional Brownian motion approach, and found slight evidence of long-term persistence. This suggests that this market is more prone to predictability ("Joseph effect"), but also trends that may be unexpectedly disrupted by discontinuities ("Noah effect"). Although the evidence of fractal dynamics has weak support, refutes the hypothesis of random walk with i.i.d. increments. This implies that the use of statistical limit arguments to determine conventional financial statistics, as used in the Capital Asset Pricing Model and option valuation models, is scientifically incorrect. Furthermore, a more localized (in time) study to identify the evolution of the degree of long-term memory over time showed a change in the characteristic index from persistent to anti-persistent, more evident after 2010. This suggests that the AEX market does not correspond to Efficient Market Hypotheis in strictly sense of Fama (1970), although it has progressed closer to this theoretical ideal during the worsening of the current international financial crisis.Repositório Científico do Instituto Politécnico do PortoGomes, LuísSoares, Vasco J. S.Gama, Sílvio M. A.Matos, José A. O.2014-07-18T07:50:30Z20142014-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.22/4840enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-13T12:44:54Zoai:recipp.ipp.pt:10400.22/4840Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:25:39.281972Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Long-term memory in financial prices: evidence from the Dutch stock market returns
title Long-term memory in financial prices: evidence from the Dutch stock market returns
spellingShingle Long-term memory in financial prices: evidence from the Dutch stock market returns
Gomes, Luís
Long-term memory
Econophysics
Detrended fluctuation analysis
Persistence
Hurst exponent
Rescaled-range analysis
title_short Long-term memory in financial prices: evidence from the Dutch stock market returns
title_full Long-term memory in financial prices: evidence from the Dutch stock market returns
title_fullStr Long-term memory in financial prices: evidence from the Dutch stock market returns
title_full_unstemmed Long-term memory in financial prices: evidence from the Dutch stock market returns
title_sort Long-term memory in financial prices: evidence from the Dutch stock market returns
author Gomes, Luís
author_facet Gomes, Luís
Soares, Vasco J. S.
Gama, Sílvio M. A.
Matos, José A. O.
author_role author
author2 Soares, Vasco J. S.
Gama, Sílvio M. A.
Matos, José A. O.
author2_role author
author
author
dc.contributor.none.fl_str_mv Repositório Científico do Instituto Politécnico do Porto
dc.contributor.author.fl_str_mv Gomes, Luís
Soares, Vasco J. S.
Gama, Sílvio M. A.
Matos, José A. O.
dc.subject.por.fl_str_mv Long-term memory
Econophysics
Detrended fluctuation analysis
Persistence
Hurst exponent
Rescaled-range analysis
topic Long-term memory
Econophysics
Detrended fluctuation analysis
Persistence
Hurst exponent
Rescaled-range analysis
description Prepared for presentation at the Portuguese Finance Network International Conference 2014, Vilamoura, Portugal, June 18-20
publishDate 2014
dc.date.none.fl_str_mv 2014-07-18T07:50:30Z
2014
2014-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.22/4840
url http://hdl.handle.net/10400.22/4840
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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