Long-range dependence and market structure

Detalhes bibliográficos
Autor(a) principal: Cajueiro, Daniel Oliveira
Data de Publicação: 2007
Outros Autores: Tabak, Benjamin Miranda
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/302
https://repositorio.ucb.br:9443/jspui/handle/123456789/7568
Resumo: In this paper, we have found that although the Dow Jones Average Industrial Index does not possess long-range dependence in mean returns, individual stocks that form the index do. These results were obtained using the Local Whittle estimation procedure. Most stocks seem to be anti-persistent with Hurst exponents below 0.5, which is in line with mean reversion in the long run. Furthermore, open–open returns possess a stronger degree of anti-persistence than close–close returns due to market structure effects.
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spelling Cajueiro, Daniel OliveiraTabak, Benjamin Miranda2016-10-10T03:51:54Z2016-10-10T03:51:54Z2007CAJUEIRO, D ; TABAK, B . Long-range dependence and market structure. Chaos, Solitons and Fractals, v. 31, p. 995-1000, 2007.http://twingo.ucb.br:8080/jspui/handle/10869/302https://repositorio.ucb.br:9443/jspui/handle/123456789/7568In this paper, we have found that although the Dow Jones Average Industrial Index does not possess long-range dependence in mean returns, individual stocks that form the index do. These results were obtained using the Local Whittle estimation procedure. Most stocks seem to be anti-persistent with Hurst exponents below 0.5, which is in line with mean reversion in the long run. Furthermore, open–open returns possess a stronger degree of anti-persistence than close–close returns due to market structure effects.Made available in DSpace on 2016-10-10T03:51:54Z (GMT). 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dc.title.pt_BR.fl_str_mv Long-range dependence and market structure
title Long-range dependence and market structure
spellingShingle Long-range dependence and market structure
Cajueiro, Daniel Oliveira
title_short Long-range dependence and market structure
title_full Long-range dependence and market structure
title_fullStr Long-range dependence and market structure
title_full_unstemmed Long-range dependence and market structure
title_sort Long-range dependence and market structure
author Cajueiro, Daniel Oliveira
author_facet Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
author_role author
author2 Tabak, Benjamin Miranda
author2_role author
dc.contributor.author.fl_str_mv Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
dc.description.abstract.por.fl_txt_mv In this paper, we have found that although the Dow Jones Average Industrial Index does not possess long-range dependence in mean returns, individual stocks that form the index do. These results were obtained using the Local Whittle estimation procedure. Most stocks seem to be anti-persistent with Hurst exponents below 0.5, which is in line with mean reversion in the long run. Furthermore, open–open returns possess a stronger degree of anti-persistence than close–close returns due to market structure effects.
dc.description.version.pt_BR.fl_txt_mv Sim
dc.description.status.pt_BR.fl_txt_mv Publicado
description In this paper, we have found that although the Dow Jones Average Industrial Index does not possess long-range dependence in mean returns, individual stocks that form the index do. These results were obtained using the Local Whittle estimation procedure. Most stocks seem to be anti-persistent with Hurst exponents below 0.5, which is in line with mean reversion in the long run. Furthermore, open–open returns possess a stronger degree of anti-persistence than close–close returns due to market structure effects.
publishDate 2007
dc.date.issued.fl_str_mv 2007
dc.date.accessioned.fl_str_mv 2016-10-10T03:51:54Z
dc.date.available.fl_str_mv 2016-10-10T03:51:54Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
status_str publishedVersion
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dc.identifier.citation.fl_str_mv CAJUEIRO, D ; TABAK, B . Long-range dependence and market structure. Chaos, Solitons and Fractals, v. 31, p. 995-1000, 2007.
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/302
https://repositorio.ucb.br:9443/jspui/handle/123456789/7568
identifier_str_mv CAJUEIRO, D ; TABAK, B . Long-range dependence and market structure. Chaos, Solitons and Fractals, v. 31, p. 995-1000, 2007.
url http://twingo.ucb.br:8080/jspui/handle/10869/302
https://repositorio.ucb.br:9443/jspui/handle/123456789/7568
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