Long Memory in Emerging Market Stock Returns
Abstract
Many authors have investigated the possibility of long memory in asset returns. Generally, very little evidence has been found for long memory in either stock returns or exchange rate returns. This paper applies the log-periodogram regression to a wide range of emerging market stock returns and finds some evidence for positive long memory in 7 of the 17 series considered.
Board of Governors of the Federal Reserve System International Finance Discussion Papers Number 650 October 1999 LONG MEMORY IN EMERGING MARKET STOCK RETURNS Jonathan H. Wright NOTE: International Finance Discussion Papers are preliminary materials circulated to stimulate discussion and critical comment. References in publications to International Finance Discussion Papers (other than an acknowledgment that the writer has had access to unpublished material) should be cleared with the author or authors. Recent IFDPs are available on the Web at www.bog.frb.fed.us.
LONG MEMORY IN EMERGING MARKET STOCK RETURNS Jonathan H. Wright* Abstract: Many authors have investigated the possibility of long memory in asset returns. Generally, very little evidence has been found for long memory in either stock returns or exchange rate returns. This paper applies the log-periodogram regression to a wide range of emerging market stock returns and finds some evidence for positive long memory in 7 of the 17 series considered. Keywords: Long Memory, Stock Returns, Frequency Domain, Emerging Markets. * Wright is an economist in the International Finance Division of the Federal Reserve Board. I am grateful to Dan Jubinski and James Weston for helpful comments. All errors are my sole responsibility.
Cite this document
Jonathan H. Wright (1999). Long Memory in Emerging Market Stock Returns (IFDP 1999-650). Board of Governors of the Federal Reserve System, International Finance Discussion Papers. https://whenthefedspeaks.com/doc/ifdp_1999-650
@techreport{wtfs_ifdp_1999_650,
author = {Jonathan H. Wright},
title = {Long Memory in Emerging Market Stock Returns},
type = {International Finance Discussion Papers},
number = {1999-650},
institution = {Board of Governors of the Federal Reserve System},
year = {1999},
url = {https://whenthefedspeaks.com/doc/ifdp_1999-650},
abstract = {Many authors have investigated the possibility of long memory in asset returns. Generally, very little evidence has been found for long memory in either stock returns or exchange rate returns. This paper applies the log-periodogram regression to a wide range of emerging market stock returns and finds some evidence for positive long memory in 7 of the 17 series considered.},
}