IDEAS home Printed from https://ideas.repec.org/a/wsi/rpbfmp/v03y2000i03ns0219091500000200.html
   My bibliography  Save this article

An Analysis of Long Memory in Volatility for Asian Stock Markets

Author

Listed:
  • Huimin Chung

    (Department of Finance and Applications, Tamkang University, Taipei, Taiwan, ROC)

  • William T. Lin

    (Department of Finance and Applications, Tamkang University, Taipei, Taiwan, ROC)

  • Soushan Wu

    (Institute of Business and Management, National Chiao-Tung University, Taipei, Taiwan, ROC)

Abstract

One of the important questions in studies of asset return and volatility has been how long the effects of shocks persist. In this article, the modified R/S statistic of Lo (1991) and the robust semiparametric method of Lobato and Robinson (1997) are applied to investigate the long memory properties in return and volatility of Asian financial markets. For the return series, we find little evidence of long memory, while the empirical results support the hypothesis of long memory in volatility for Asia-Pacific stock markets. We also discuss the possible causes of spurious long memory effect in volatility, namely aggregation, size distortion, and shifts in variance. Our empirical evidence shows that spurious long memory effect in volatility might occur as a result of shifts in variance for some Asian stock markets.

Suggested Citation

  • Huimin Chung & William T. Lin & Soushan Wu, 2000. "An Analysis of Long Memory in Volatility for Asian Stock Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 309-330.
    • Handle: RePEc:wsi:rpbfmp:v:03:y:2000:i:03:n:s0219091500000200
    DOI: 10.1142/S0219091500000200
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219091500000200
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219091500000200?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.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ranjit Kumar Paul & Bishal Gurung & Sandipan Samanta, 2015. "Analyzing the Effect of Dual Long Memory Process in Forecasting Agricultural Prices in Different Markets of India," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 4(4), pages 235-249.
    2. Tripathy, Naliniprava, 2022. "Long memory and volatility persistence across BRICS stock markets," Research in International Business and Finance, Elsevier, vol. 63(C).
    3. 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.
    4. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Long memory volatility in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1425-1433.
    5. 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.
    6. Farooq Malik, 2015. "Revisiting the relationship between risk and return," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 25-40, January.

    More about this item

    Keywords

    long memory in volatility; structure shifts in variance; Asia Pacific stock markets;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

    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:wsi:rpbfmp:v:03:y:2000:i:03:n:s0219091500000200. 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: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/rpbfmp/rpbfmp.shtml .

    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.