Stock Returns Memories: a “Stardust” Memory?

Abstract

Cet article a pour but de tester économétriquement la notion d’efficience de marché à travers l’analyse de la structure de dépendance des rendements des indices d’actions. À cette fin, six méthodes d’estimations ont été utilisées pour obtenir l’exposant de Hurst, partant de l’approche classique “R/S”, poursuivant avec les modèles ARFIMA et concluant par la méthode des ondelettes. Nous avons étudié la présence potentielle d’une mémoire longue ou courte dans douze marchés et trois périodes (1960-2013), (1980-2013) et (1990-2013). Nos conclusions dépendent du degré de maturité financière des marchés: la plupart des marchés émergents exhibent une mémoire alors que les marchés plus matures montrent une absence ou une très courte mémoire.

Long Memory and Stock Market Efficiency: Case of Saudi Arabia

“…Hence, the long memory process of Saudi Stock Market offers evidence against efficient market hypothesis (EMH). The results are in coherence with previous studies, such as Fouquau and Spieser (2014).…”

“…After that, we proceed to the Andrews and Guggenberger (2003) estimation, called AG. The choice of methods is motivated by the literature and especially the work of Fouquau and Spieser (2014) due to the sensitivity of the ARFIMA approach.…”

“…The empirical literature indicates the possibility to relate the long memory property to the level of development of stock markets. Fouquau and Spieser (2014) investigate the market efficiency concept through analyzing the dependence structure of stock market index returns. They employ different estimation methods to demonstrate the possible presence of long memory in 12 market indexes among three periods, namely (1960-2013), (1980-2013) and (1990-2013).…”

Investigating Stochastic Volatility during Periods of Financial Distress: Evidence from International Financial Markets

“…The results indicate stochastic volatility and on average, a slower mean reversion during the financial crisis than the Covid-19 pandemic. Also, the findings contradict prior literature (Fouquau & Spieser, 2014;Lillo & Farmer, 2022) which contends that financial markets tend to have significant long run memories. The findings of this study also suggest that today's price charts and price actions will partly be a forecast of actionable trading levels in the future in most financial markets.…”