International Finance Discussion Papers (IFDP)
October 1999
Long Memory in Emerging Market Stock Returns
Jonathan H. Wright
Abstract:
Many authors have investigated the possibility of long memory in asset returns. Generally, very little evidence has been found for long memory in either stock returns or exchange rate returns. This paper applies the log-periodogram regression to a wide range of emerging market stock returns and finds some evidence for positive long memory in 7 of the 17 series considered.
Keywords: Long Memory, Stock Returns, Frequency Domain, Emerging Markets
PDF: Full Paper
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