Munich Personal RePEc Archive

Long memory in the ukrainian stock market and financial crises

Maria Caporale, Guglielmo and Gil-Alana, Luis and Plastun, Alex and Makarenko, Inna (2013): Long memory in the ukrainian stock market and financial crises. Forthcoming in: Working Paper No. 13-27. – Brunel University, London

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Abstract

This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different long memory approaches (R/S analysis and fractional integration) we show that this market is inefficient and the degree of persistence is not the same in different stages of the financial crisis. Therefore trading strategies might have to be modified. We also show that data smoothing is not advisable in the context of R/S analysis.

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