LONG MEMORY AND STOCK MARKET EFFICIENCY: CASE OF SAUDI ARABIA
نویسندگان
چکیده
منابع مشابه
Long memory in the Finnish stock market
The presence of long memory is tested using Finnish stock market return data. The data set has daily returns on several indices and individual companies, and long memory tests are computed both for the returns and return volatilities of the series. It is found that statistically significant long memory can be found in approximately 35% of the return series, and practically all volatility series...
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Real and Spurious Long Memory Properties of Stock Market Data
We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure. Spurious results can be produced by nonstationarity and aggregation. We address these problems by analyzing subperiods of returns and using individual stocks. The test results show no evidence of long memory in the returns. By contrast, there is strong evidence in the square...
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ژورنال
عنوان ژورنال: International Journal of Economics and Financial Issues
سال: 2020
ISSN: 2146-4138
DOI: 10.32479/ijefi.9568