The stochastic behavior of stock indices: a test of long memory in the Kuala Lumpur Stock Exchange
Characterization of the stochastic process of stock market indices is vital in understanding the behavior of stock prices. Conventional share valuation models are subject to the nature of inter-temporal dependence between current and past movements. This paper studies the stochastic process of four...
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| Format: | Article |
| Language: | English |
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Penerbit Universiti Kebangsaan Malaysia
1998
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| Online Access: | http://journalarticle.ukm.my/7978/1/820-1566-1-SM.pdf |