IDEAS home Printed from https://ideas.repec.org/a/taf/raflxx/v4y2008i6p433-437.html
   My bibliography  Save this article

Long memory in international equity markets: revisited

Author

Listed:
  • Ata Assaf

Abstract

This study provides empirical evidence of the long-range behaviour in international equity markets. We test for long memory in the daily returns using the modified rescaled range statistic R/S proposed by Lo (1991) and the rescaled variance V/S statistic developed by Giraitis et al. (2003). Long memory is found to be weak in the return series when using R/S but some evidence of long memory is found in USA and Germany based on V/S analysis. Our results confirm those reported by Lo (1991) using only the rescaled range analysis and should be useful to regulators, practitioners and derivative market participants, whose success depends on the ability to forecast stock price movements.

Suggested Citation

  • Ata Assaf, 2008. "Long memory in international equity markets: revisited," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 4(6), pages 433-437.
    • Handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:433-437
    DOI: 10.1080/17446540701765282
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/17446540701765282
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/17446540701765282?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:raflxx:v:4:y:2008:i:6:p:433-437. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/rafl20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.