Logo
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.

[thumbnail of MPRA_paper_252.pdf]
Preview
PDF
MPRA_paper_252.pdf

Download (134kB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.