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Much ado about nothing: Long-term memory in Pacific Rim equity markets

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  • Howe, John S.
  • Martin, Deryl W.
  • WoodJr., Bob G.

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  • Howe, John S. & Martin, Deryl W. & WoodJr., Bob G., 1999. "Much ado about nothing: Long-term memory in Pacific Rim equity markets," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 139-151, June.
    • Handle: RePEc:eee:finana:v:8:y:1999:i:2:p:139-151
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    1. Marco Corazza & A.G. Malliaris & Carla Nardelli, 1997. "Searching for fractal structure in agricultural futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(4), pages 433-473, June.
    2. Ellis, Craig, 2006. "The mis-specification of the expected rescaled adjusted range," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 469-476.
    3. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    4. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
    5. Greene, Myron T. & Fielitz, Bruce D., 1977. "Long-term dependence in common stock returns," Journal of Financial Economics, Elsevier, vol. 4(3), pages 339-349, May.
    6. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    7. Booth, G. Geoffrey & Kaen, Fred R. & Koveos, Peter E., 1982. "R/S analysis of foreign exchange rates under two international monetary regimes," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 407-415.
    8. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    9. Jacobsen, Ben, 1996. "Long term dependence in stock returns," Journal of Empirical Finance, Elsevier, vol. 3(4), pages 393-417, December.
    10. Batten, Jonathan & Ellis, Craig & Mellor, Robert, 1999. "Scaling laws in variance as a measure of long-term dependence," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 123-138, June.
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    Cited by:

    1. Ivani Bora & Naliniprava Tripathy, 2016. "Random or Deterministic? Evidence from Indian Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1716-1721.
    2. Sanjay Rajagopal, 2012. "A Study of the Returns Behavior of Small Capitalization REITs," Journal of Economics and Behavioral Studies, AMH International, vol. 4(8), pages 457-466.
    3. Yuan, Ying & Zhuang, Xin-tian & Jin, Xiu & Huang, Wei-qiang, 2014. "Stable distribution and long-range correlation of Brent crude oil market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 173-179.
    4. Mishra, Ritesh Kumar & Sehgal, Sanjay & Bhanumurthy, N.R., 2011. "A search for long-range dependence and chaotic structure in Indian stock market," Review of Financial Economics, Elsevier, vol. 20(2), pages 96-104, May.
    5. Batten, Jonathan & Ellis, Craig & Hogan, Warren, 2002. "Scaling the volatility of credit spreads: Evidence from Australian dollar eurobonds," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 331-344.
    6. Onali, Enrico & Goddard, John, 2011. "Are European equity markets efficient? New evidence from fractal analysis," International Review of Financial Analysis, Elsevier, vol. 20(2), pages 59-67, April.
    7. Christian Walter, 2001. "Searching for scaling laws in distributional properties of price variations: a review over 40 years," Post-Print hal-04567942, HAL.
    8. Sanjay Rajagopal & Patrick Hays, 2012. "Return Persistence in the Indian Real Estate Market," International Real Estate Review, Global Social Science Institute, vol. 15(3), pages 283-305.
    9. Sensoy, Ahmet & Tabak, Benjamin M., 2016. "Dynamic efficiency of stock markets and exchange rates," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 353-371.
    10. Onali, Enrico & Goddard, John, 2009. "Unifractality and multifractality in the Italian stock market," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 154-163, September.
    11. Batten, Jonathan A. & Ellis, Craig & Fetherston, Thomas A., 2005. "Return anomalies on the Nikkei: Are they statistical illusions?," Chaos, Solitons & Fractals, Elsevier, vol. 23(4), pages 1125-1136.
    12. Goddard, John & Onali, Enrico, 2012. "Self-affinity in financial asset returns," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 1-11.
    13. Batten, Jonathan A. & Ellis, Craig A. & Fethertson, Thomas A., 2008. "Sample period selection and long-term dependence: New evidence from the Dow Jones index," Chaos, Solitons & Fractals, Elsevier, vol. 36(5), pages 1126-1140.
    14. Batten, Jonathan & Ellis, Craig & Mellor, Robert, 1999. "Scaling laws in variance as a measure of long-term dependence," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 123-138, June.
    15. Kim Liow, 2009. "Long-term Memory in Volatility: Some Evidence from International Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 39(4), pages 415-438, November.

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