Long memory in return structures from developed markets

Bhattacharya, Sharad Nath; Bhattacharya, Mousumi

doi:10.5295/cdg.110312sb

cuadernosgestion

2013

DOI: 10.5295/cdg.110312sb

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Long memory in return structures from developed markets

Sharad Nath Bhattacharya¹,

Mousumi Bhattacharya²

Abstract: Abstract:The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When

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Cited by 2 publications

References 36 publications

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Examining the Long Memory in Stock Returns and Liquidity in India

Bala

Gupta

2021

CJFA

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The present study examines the long memory in stock liquidity and returns in Indian equity market by using data for broad indices from January, 1997 to December, 2019 by applying the hurst exponent (1951) rescaled range analysis. It is observed that time varying degree of persistence nature in individual and full series analysis of returns. Moreover, liquidity series exhibit long memory process in Nifty

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Examining the Long Memory in Stock Returns and Liquidity in India

Bala

Gupta

2021

CJFA

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The Comparative Dynamics of Developed and Emerging Stock Markets: A Long Memory Perspective

Bhattacharya

Bhattacharya²,

Guhathakurta

2018

TEL

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The paper explores the difference in efficiency between developed and emerging stock market from a long memory perspective for the period 2000 to 2015. Ten developed, and ten emerging countries were selected for the study based on Morgan Stanley Capital International's classification. We used both rescaled range and detrended fluctuation analysis and supplemented the findings with estimates of the fractionally integrated parameter for stock market return, its volatility as well as its absolute return using spectral regression. Findings are supportive of the absence of long memory in returns but support presence of long memory in absolute returns and volatility. We conclude that co-movement and spillover between stock markets have affected the market efficiencies and the efficiency of the emerging stock markets is no longer very different from that of the developed stock markets.

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Long memory in return structures from developed markets

Abstract: Abstract:The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When

Cited by 2 publications

References 36 publications

Examining the Long Memory in Stock Returns and Liquidity in India

Examining the Long Memory in Stock Returns and Liquidity in India

The Comparative Dynamics of Developed and Emerging Stock Markets: A Long Memory Perspective

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