Long-term dependence in financial prices: evidence from the Belgian stock market returns
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.22/4504 |
Resumo: | This article aims to contribute to the discussion of long-term dependence, focusing on the behavior of the main Belgian stock index. Non-parametric analyzes of the general characteristics of temporal frequency show that daily returns are non-ergodic and non-stationary. Therefore, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA), under the fractional Brownian motion approach, and we found slight evidence of long-term dependence. These results refute the random walk hypothesis with i.i.d. increments, which is the basis of the EMH in its weak form, and call into question some theoretical modeling of asset pricing. Other more localized complementary study, to identify the evolution of the degree of dependence over time windows, showed that the index has become less persistent from 2010. This may mean a maturing market by the extension of the effects of current financial crisis. |
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Long-term dependence in financial prices: evidence from the Belgian stock market returnsRescaled-range analysisEconophysicsLong-term dependenceHurst exponentDetrended fluctuation analysisThis article aims to contribute to the discussion of long-term dependence, focusing on the behavior of the main Belgian stock index. Non-parametric analyzes of the general characteristics of temporal frequency show that daily returns are non-ergodic and non-stationary. Therefore, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA), under the fractional Brownian motion approach, and we found slight evidence of long-term dependence. These results refute the random walk hypothesis with i.i.d. increments, which is the basis of the EMH in its weak form, and call into question some theoretical modeling of asset pricing. Other more localized complementary study, to identify the evolution of the degree of dependence over time windows, showed that the index has become less persistent from 2010. This may mean a maturing market by the extension of the effects of current financial crisis.Queen UniversityRepositório Científico do Instituto Politécnico do PortoGomes, Luís2014-06-05T14:29:05Z20142014-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.22/4504eng10400.22/4504info: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:RCAAP2023-03-13T12:44:38Zoai:recipp.ipp.pt:10400.22/4504Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:25:22.396402Repositório 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 dependence in financial prices: evidence from the Belgian stock market returns |
title |
Long-term dependence in financial prices: evidence from the Belgian stock market returns |
spellingShingle |
Long-term dependence in financial prices: evidence from the Belgian stock market returns Gomes, Luís Rescaled-range analysis Econophysics Long-term dependence Hurst exponent Detrended fluctuation analysis |
title_short |
Long-term dependence in financial prices: evidence from the Belgian stock market returns |
title_full |
Long-term dependence in financial prices: evidence from the Belgian stock market returns |
title_fullStr |
Long-term dependence in financial prices: evidence from the Belgian stock market returns |
title_full_unstemmed |
Long-term dependence in financial prices: evidence from the Belgian stock market returns |
title_sort |
Long-term dependence in financial prices: evidence from the Belgian stock market returns |
author |
Gomes, Luís |
author_facet |
Gomes, Luís |
author_role |
author |
dc.contributor.none.fl_str_mv |
Repositório Científico do Instituto Politécnico do Porto |
dc.contributor.author.fl_str_mv |
Gomes, Luís |
dc.subject.por.fl_str_mv |
Rescaled-range analysis Econophysics Long-term dependence Hurst exponent Detrended fluctuation analysis |
topic |
Rescaled-range analysis Econophysics Long-term dependence Hurst exponent Detrended fluctuation analysis |
description |
This article aims to contribute to the discussion of long-term dependence, focusing on the behavior of the main Belgian stock index. Non-parametric analyzes of the general characteristics of temporal frequency show that daily returns are non-ergodic and non-stationary. Therefore, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA), under the fractional Brownian motion approach, and we found slight evidence of long-term dependence. These results refute the random walk hypothesis with i.i.d. increments, which is the basis of the EMH in its weak form, and call into question some theoretical modeling of asset pricing. Other more localized complementary study, to identify the evolution of the degree of dependence over time windows, showed that the index has become less persistent from 2010. This may mean a maturing market by the extension of the effects of current financial crisis. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014-06-05T14:29:05Z 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/10400.22/4504 |
url |
http://hdl.handle.net/10400.22/4504 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10400.22/4504 |
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 |
Queen University |
publisher.none.fl_str_mv |
Queen University |
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 |
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1799131346706104320 |