publication . Article . Preprint . Other literature type . 1996

Long memory in the Greek stock market

Barkoulas, J. T.; Christopher Baum; Travlos, N.;
Open Access
  • Published: 01 Dec 1996 Journal: SSRN Electronic Journal (eissn: 1556-5068, Copyright policy)
  • Publisher: Elsevier BV
Abstract
We test for stochastic long memory in the Greek stock market, an emerging capital market. The fractional differencing parameter is estimated using the spectral regression method. Contrary to findings for major capital markets, significant and robust evidence of positive long-term persistence is found in the Greek stock market. As compared to benchmark linear models, the estimated fractional models provide improved out-of-sample forecasting accuracy for the Greek stock returns series over longer forecasting horizons.
Subjects
free text keywords: emerging capital markets, long memory, forecasting, ARFIMA processes, spectral regression, jel:G14, jel:G15, jel:C53
Related Organizations

Agiakloglou, C., P. Newbold, and M. Wohar, 1993, Bias in an estimator of the fractional difference parameter, Journal of Time Series Analysis 14, 235- 246. [OpenAIRE]

Barkoulas, J. T. and N. Travlos, 1996, Chaos in an emerging capital market? The case of the Athens stock exchange, Applied Financial Economics forthcoming.

Cheung, Y. W., 1993, Tests for fractional integration: A Monte Carlo investigation, Journal of Time Series Analysis 14, 331-345.

Cheung, Y. and K. Lai, 1995, A search for long memory in international stock market returns, Journal of International Money and Finance 14, 597-615.

Crato, N., 1994, Some international evidence regarding the stochastic behavior of stock returns, Applied Financial Economics 4, 33-39.

Diebold, F. X. and P. Lindner, 1996, Fractional integration and interval prediction, Economics Letters 50, 305-313.

Engle, R., 1982, Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. inflation, Econometrica 50, 987-1008.

Geweke, J. and S. Porter-Hudak, 1983, The estimation and application of long memory time series models, Journal of Time Series Analysis 4, 221-238. [OpenAIRE]

Granger, C. W. J. and R. Joyeux, 1980, An introduction to long-memory time series models and fractional differencing, Journal of Time Series Analysis 1, 15-39. [OpenAIRE]

Greene, M. T. and B. D. Fielitz, 1977, Long-term dependence in common stock returns, Journal of Financial Economics 5, 339-349.

Hassler, U., 1993, Regression of spectral estimators with fractionally integrated time series, Journal of Time Series Analysis 14, 369-380. Fractional Model

d = 0.219 , AR(2) d = 0.305, AR(2) d = 0.266 , AR(2)

Powered by OpenAIRE Research Graph
Any information missing or wrong?Report an Issue