Tan, Zhengxun; Fu, Yao; Cheng, Hong; Liu, Juan - In: International Journal of Emerging Markets 17 (2020) 5, pp. 1292-1314
Purpose: This study aims to examine the long memory as well as the effect of structural breaks in the US and the Chinese stock markets. More importantly, it further explores possible causes of the differences in long memory between these two stock markets. Design/methodology/approach: The...