Can’t Remember to Forget? Long Memory in the Greek Sovereign Spreads

This study examines whether Greek sovereign spreads exhibit long memory. The analysis seeks to establish whether long memory effects are present in monthly data of the Greek sovereign spread for the sample Jan. 1999-Dec. 2020. The study performs several long memory tests and concludes that fractional integration may not be valid. Long memory is related to the efficient market hypothesis debate and to market-sentiment effects. Results show that Greek sovereign spreads are not characterized by a typical long memory process. Findings are consistent with the Efficient Market Hypothesis, as applied to Greek sovereign spreads