Chin, Wencheong (2008): Spurious long-range dependence: evidence from Malaysian equity markets.
Download (104Kb) | Preview
In this paper, a modified variance aggregated-time approach is used to examine the long-range dependence behaviour of the Malaysian stock exchange. We studied the 20 years daily data which included the pre- and post-economic crises encountered in the Malaysian stock exchange. The unawareness of economic shocks and short-range dependence in all the indices has triggered the spurious long-range dependence in our empirical results. It is also found that the modified approach estimation is robust under the presence of short-range dependence.
|Item Type:||MPRA Paper|
|Original Title:||Spurious long-range dependence: evidence from Malaysian equity markets|
|Keywords:||Keywords: long-range dependence, variance aggregated-time plot, financial time series, self-similar process|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||wencheong chin|
|Date Deposited:||25. Mar 2008 09:26|
|Last Modified:||16. Feb 2013 08:17|
Andrews, D.W.K., 1993, Tests for parameter instability and structural change with unknown change point, Econometrica, 61, 821-856.
Beran J.,1994, Statistics for Long-memory Processes. Chapman & Hall, London, UK.
Granger, C.W.J. and Hyung, N., 2004, Occasional structural breaks and long memory with an application to the S&P500 absolute stock returns, Journal of Empirical Finance, 11, 339-421.
Mandelbrot, B.,1997, Fractal and scaling in finance: Discontinuity, concentration, risk. New York: Springer.
Miller, M.H., J. Muthuswamy and R.E. Whaley,1994, Mean reversion of Standard and Poor 500 index basis changes: Arbitrage-induced or statistical illusion? Journal of Finance, 49, 479-513.
Mullier, U., Dacorogna, M., Dave, Olsen, R., R., Pictet, O. & von Weizsacker, J., 1997, Volatilities of different time resolutions: analyzing the dynamics of market components, Journals of Empirical Finance, 4, 213-239.
Newey, W. and K. West, 1987, A simple positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708.
Tse, Y.K., 1998, The conditional heteroscedasticity of the Yen-Dollar exchange rate, Journal of Applied Econometrics, 193, 49–55.
Vervaat, W., 1987, Properties of general self-similar processes, Bulletin International Statistics Institute, 52, 199-216.