Bond, Derek and Dyson, Kenneth (2006): Long memory and non-linearity in Stock Markets.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Long memory and non-linearity in Stock Markets|
|Keywords:||Efficient Markets; Long Memory; Nonlinear Models|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
|Depositing User:||Derek Bond|
|Date Deposited:||09. Oct 2006|
|Last Modified:||19. Feb 2013 02:49|
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