Munich Personal RePEc Archive

Long memory and non-linearity in Stock Markets

Bond, Derek and Dyson, Kenneth (2006): Long memory and non-linearity in Stock Markets.

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Abstract

In this paper the long memory and non-linear properties of share prices in the UK’s Stock Exchange and AIM are explored. The results suggest that the most commonly traded shares exhibit long memory thus raising interesting issues about the validity of normal assumptions of market efficiencies.

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