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Finance

2014/2 (Vol. 35)


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Abstract

English

This article aims at investigating econometrically the market efficiency concept through an analysis of the dependence structure of stock market index returns. To that purpose, we use a large range of methods in this paper. Six different estimation procedures are applied to obtain the Hurst exponent, starting with the “R/S” approach, continuing with ARFIMA models and ending with wavelet models. We investigate the possible presence of long or short-memory in twelve market indexes between three periods, namely (1960-2013), (1980-2013) and (1990-2013). Our conclusions depend on the degree of financial maturity: most emerging markets display the presence of memory, whereas mature markets show an absence of or very short-memory dynamics.

Outline

  1. The Long-Memory literature
  2. Measure of Long-Memory
    1. Hurst Exponent: the R/S Statistics
    2. ARFIMA models
    3. The wavelet methodology
  3. Data and Results
  4. Conclusion

To cite this article

Julien Fouquau, Philippe Spieser, “ Stock Returns Memories: a “Stardust” Memory? ”, Finance 2/2014 (Vol. 35) , p. 57-85
URL : www.cairn.info/revue-finance-2014-2-page-57.htm.

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