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Long memory and nonlinearity in stock markets

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  • Derek Bond
  • Kenneth A. Dyson

Abstract

In this article the long memory and nonlinear properties of share prices in the UK's stock exchange and alternative investment markets are explored. The results suggest that the most commonly traded shares exhibit long memory. Thus, the validity of market efficiency is questioned.

Suggested Citation

  • Derek Bond & Kenneth A. Dyson, 2008. "Long memory and nonlinearity in stock markets," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 4(1), pages 45-48.
    • Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:45-48
    DOI: 10.1080/17446540701367451
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