Munich Personal RePEc Archive

Spurious long-range dependence: evidence from Malaysian equity markets

Chin, Wencheong (2008): Spurious long-range dependence: evidence from Malaysian equity markets.

[img]
Preview
PDF
MPRA_paper_7914.pdf

Download (107kB) | Preview

Abstract

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.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.