Long memory in a small stock market

The presence of long memory in Finnish stock market return data is tested using nonparametric methods. The data set has daily returns on six indices and forty companies. Depending on the testing method used, statistically significant long memory is detected in 24% to 67% of the series. This is considerably more than what is usually found in data of this kind.

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Year of publication:	2003
Authors:	Tolvi, Jussi
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 7.2003, 3, p. 1-13
Publisher:	AccessEcon

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	G1 - General Financial Markets ; C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005110909