Mean reversion and long memory in African stock market prices
نویسندگان
چکیده
منابع مشابه
Fractional Integration and Mean Reversion in Stock Prices
The Efficient Market Hypothesis (EMH) is frequently tested by measuring the degree of mean reversion in stock prices, since highly predictable changes might indicate that investors are not fully rational. Existing studies often rely on statistical tests which impose too restrictive assumptions on the time series behaviour of the series of interest, and have very low power. This paper uses a tes...
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financial scientists have always been eager to distinguish between whether the price series could be random walk (unit root) or mean reverting processes.by a random walk we mean that accruing shocks to the system have permanent impacts and prices do not revert to their previous trend path, in addition, regarding to random walk processes the price series volatility could increase with out any li...
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ژورنال
عنوان ژورنال: Journal of Economics and Finance
سال: 2010
ISSN: 1055-0925,1938-9744
DOI: 10.1007/s12197-010-9124-0