Long memory and non-linearity in Stock Markets

Bond, Derek and Dyson, Kenneth (2006): Long memory and non-linearity in Stock Markets.

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.

• Item Type: MPRA Paper
• Language: English
• 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

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