Some international evidence regarding the stochastic memory of stock returns

Detalhes bibliográficos
Autor(a) principal: Crato, Nuno
Data de Publicação: 1994
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27697
Resumo: The present paper studies international stock indexes of the G-7 countries in the last 40 years. Evidence about the statistical memory of the returns is presented, and only in one country could the existence of long memory be sustained. These results contradict various previous studies that were based on the R/S analysis and consistently claimed the existence of long memory in financial returns. A general ARFIM A model capable of reproducing long- and short-memory properties is directly fitted to the data. The conclusion is then based on the estimated parameters of the model.
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spelling Some international evidence regarding the stochastic memory of stock returnsTime SeriesInternational Stock IndexesG-7 CountriesStock ReturnsARFIMA ModelThe present paper studies international stock indexes of the G-7 countries in the last 40 years. Evidence about the statistical memory of the returns is presented, and only in one country could the existence of long memory be sustained. These results contradict various previous studies that were based on the R/S analysis and consistently claimed the existence of long memory in financial returns. A general ARFIM A model capable of reproducing long- and short-memory properties is directly fitted to the data. The conclusion is then based on the estimated parameters of the model.Taylor & FrancisRepositório da Universidade de LisboaCrato, Nuno2023-05-03T14:44:15Z19941994-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27697engCrato, Nuno. (1994). "Some international evidence regarding the stochastic memory of stock returns" . Applied Financial Economics, Vol 4, No, 1: pp. 33-39. . (Search PDF in 2023).info: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:RCAAP2023-05-07T01:30:58Zoai:www.repository.utl.pt:10400.5/27697Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:50:57.692053Repositório 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 Some international evidence regarding the stochastic memory of stock returns
title Some international evidence regarding the stochastic memory of stock returns
spellingShingle Some international evidence regarding the stochastic memory of stock returns
Crato, Nuno
Time Series
International Stock Indexes
G-7 Countries
Stock Returns
ARFIMA Model
title_short Some international evidence regarding the stochastic memory of stock returns
title_full Some international evidence regarding the stochastic memory of stock returns
title_fullStr Some international evidence regarding the stochastic memory of stock returns
title_full_unstemmed Some international evidence regarding the stochastic memory of stock returns
title_sort Some international evidence regarding the stochastic memory of stock returns
author Crato, Nuno
author_facet Crato, Nuno
author_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Crato, Nuno
dc.subject.por.fl_str_mv Time Series
International Stock Indexes
G-7 Countries
Stock Returns
ARFIMA Model
topic Time Series
International Stock Indexes
G-7 Countries
Stock Returns
ARFIMA Model
description The present paper studies international stock indexes of the G-7 countries in the last 40 years. Evidence about the statistical memory of the returns is presented, and only in one country could the existence of long memory be sustained. These results contradict various previous studies that were based on the R/S analysis and consistently claimed the existence of long memory in financial returns. A general ARFIM A model capable of reproducing long- and short-memory properties is directly fitted to the data. The conclusion is then based on the estimated parameters of the model.
publishDate 1994
dc.date.none.fl_str_mv 1994
1994-01-01T00:00:00Z
2023-05-03T14:44:15Z
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/10400.5/27697
url http://hdl.handle.net/10400.5/27697
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Crato, Nuno. (1994). "Some international evidence regarding the stochastic memory of stock returns" . Applied Financial Economics, Vol 4, No, 1: pp. 33-39. . (Search PDF in 2023).
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.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
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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