Long Memory in Stock Returns: A Study of Emerging Markets
The present study aimed at investigating the existence of long memory properties in ten emerging stock markets across the globe. When return series exhibit long memory, it indicates that observed returns are not independent over time. If returns are not independent, past returns can help predict fut...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Tehran
2012-07-01
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| Series: | Iranian Journal of Management Studies |
| Subjects: | |
| Online Access: | http://ijms.ir/pg/07/IJMS05204.pdf |