Long memory in the Ukrainian stock market
This paper examines the dynamics of stock prices in Ukraine by estimating the degree of persistence of the PFTS stock market index. Using long memory techniques we show that the log prices series is I(d) with d slightly above 1, implying that returns are characterised by a small degree of long memor...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Centre for International Capital Markets, London Metropolitan University
2013
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| Subjects: | |
| Online Access: | https://repository.londonmet.ac.uk/383/1/CentreForInternationalCapitalMarketsDiscussionPapers_2013-03_p01-20.pdf |