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Long-term Memory in Stock Market Prices
Open accessAbstract
A test for long-term memory that is robust to short-range dependence is developed. It is a modification of the R/S statistic, and the relevant asymptotic sampling theory is derived via functional central limit theory. Contrary to previous findings, when applied to daily and monthly stock returns indexes over several time periods this test yields no evidence of long-range dependence once short-range dependence is accounted for. Monte Carlo experiments show that the modified R/S test has power against at least two specific models of long-term memory, suggesting that models with short-range dependence may adequately capture the behavior of historical stock returns. Copyright 1991 by The Econometric Society.
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Cited by
Modeling and pricing long memory in stock market volatility
Bollerslev, T., & Ole Mikkelsen, H. (1996) · Journal of Econometrics · doi:10.1016/0304-4076(95)01736-4 · Cited by 1,208
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
The evolution of stock market efficiency over time: A survey of the empirical literature
Lim, K.-P., & Brooks, R. (2011) · Journal of Economic Surveys · doi:10.1111/j.1467-6419.2009.00611.x · Cited by 410
Stock market prices and long-range dependence
Willinger, W., Taqqu, M. S., & Teverovsky, V. (1999) · Finance and Stochastics · doi:10.1007/s007800050049 · Cited by 373
Are Asian stock markets efficient? Evidence from new multiple variance ratio tests
Kim, J. H., & Shamsuddin, A. (2008) · Journal of Empirical Finance · doi:10.1016/j.jempfin.2007.07.001 · Cited by 311
Metadata
- Authors
- Lo, A.
- Venue
- National Bureau of Economic Research
- Publisher
- National Bureau of Economic Research
- Published
- 1989-05
- OpenAlex
- W3122165036
- Cited by
- 1,433
- References
- 0
- Type
- report
- Language
- en
- Open access
- green
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