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North Africa stock markets: analysis of long memory and persistence of shocks

Author

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  • Ibrahim A. Onour

Abstract

This paper investigates long-memory behaviour of stock returns of Egypt, Tunisa and Morrocco stock markets using daily stock price data. Results in the paper support evidence of stationary short-memory process for the returns of the three markets. Short memory of stock returns implies that most recent lagged returns have more predictive power for future returns than long-term factors. It is also indicated in the paper that stock returns volatility behave as a short-memory process. Short-memory behaviour of volatility indicates that the effect of a shock to volatility tends to dissipate within a short period of time.

Suggested Citation

  • Ibrahim A. Onour, 2010. "North Africa stock markets: analysis of long memory and persistence of shocks," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 3(2), pages 101-111.
    • Handle: RePEc:ids:ijmefi:v:3:y:2010:i:2:p:101-111
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    Citations

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    Cited by:

    1. Saâdaoui, Foued, 2024. "Segmented multifractal detrended fluctuation analysis for assessing inefficiency in North African stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 181(C).
    2. Anju Bala & Kapil Gupta, 2020. "Examining The Long Memory In Stock Returns And Liquidity In India," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 25-43.
    3. Pece Andreea Maria & Ludusan (Corovei) Emilia Anuta & Mutu Simona, 2013. "Testing The Long Range-Dependence For The Central Eastern European And The Balkans Stock Markets," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 1113-1124, July.
    4. Andrés Herrera Aramburú & Gabriel Rodríguez, 2016. "Volatility of stock market and exchange rate returns in Peru: Long memory or short memory with level shifts?," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(1), pages 45-66.
    5. Naveen Musunuru, 2019. "Modeling Long Range Dependence in Wheat Food Price Returns," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(9), pages 1-46, September.

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