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Permanent structural changes in the Brazilian economy and long memory: a stock market perspective

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  • Marcelo Resende
  • Nilson Teixeira

Abstract

The paper assesses long memory patterns in the Brazilian stock market index (Ibovespa) for sub-periods before and after the Real Stabilization Plan. Evidence favours the existence of short memory for both periods despite the so-called reforms the Brazilian economy went through in the 1990s and, in particular, after the Real Plan.

Suggested Citation

  • Marcelo Resende & Nilson Teixeira, 2002. "Permanent structural changes in the Brazilian economy and long memory: a stock market perspective," Applied Economics Letters, Taylor & Francis Journals, vol. 9(6), pages 373-375.
    • Handle: RePEc:taf:apeclt:v:9:y:2002:i:6:p:373-375
    DOI: 10.1080/13504850110073480
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Mr. Jun Nagayasu, 2003. "The Efficiency of the Japanese Equity Market," IMF Working Papers 2003/142, International Monetary Fund.
    2. Massimiliano Giacalone & Demetrio Panarello, 2022. "A Nonparametric Approach for Testing Long Memory in Stock Returns’ Higher Moments," Mathematics, MDPI, vol. 10(5), pages 1-21, February.
    3. Kang, Sang Hoon & Yoon, Seong-Min, 2008. "Long memory features in the high frequency data of the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(21), pages 5189-5196.
    4. Korkmaz, Turhan & Cevik, Emrah Ismail & Özataç, Nesrin, 2009. "Testing for long memory in ISE using Arfima-Figarch model and structural break test," MPRA Paper 71302, University Library of Munich, Germany.
    5. Kuttu, Saint, 2018. "Modelling long memory in volatility in sub-Saharan African equity markets," Research in International Business and Finance, Elsevier, vol. 44(C), pages 176-185.
    6. Serpil TURKYILMAZ & Mesut BALIBEY, 2014. "Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models," International Journal of Economics and Financial Issues, Econjournals, vol. 4(2), pages 400-410.
    7. Cevik, Emrah Ismail, 2012. "İstanbul Menkul Kıymetler Borsası’nda etkin piyasa hipotezinin uzun hafıza modelleri ile analizi: sektörel bazda bir inceleme [The testing of efficient market hypothesis in the Istanbul Stock Excha," MPRA Paper 71484, University Library of Munich, Germany, revised 2012.
    8. Luis Gil-Alana, 2008. "Real GDP growth rates across countries: long memory and mean shifts," Applied Economics Letters, Taylor & Francis Journals, vol. 15(6), pages 449-455.
    9. David G. McMillan & Pako Thupayagale, 2009. "The efficiency of African equity markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 26(4), pages 275-292, October.
    10. A. C. -L. Chian & E. L. Rempel & C. Rogers, 2007. "Crisis-induced intermittency in non-linear economic cycles," Applied Economics Letters, Taylor & Francis Journals, vol. 14(3), pages 211-218.
    11. Keith Jefferis & Pako Thupayagale, 2008. "Long Memory In Southern African Stock Markets," South African Journal of Economics, Economic Society of South Africa, vol. 76(3), pages 384-398, September.

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