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An Assessment of Persistence in Stock Markets (in French)Sanvi Avouyi-DoviBanque de France Dominique GueganUniversite Paris 1 Pantheon-Sorbonne Sophie LaDoucetteBanque de France December 2002 Banque de France Working Paper No. 94 Abstract: We identify and examine the presence of the long memory in equity returns and more generally in specific transformations of these returns, on both the US and European stock markets. Taking into account the persistence phenomenon, we analyze the effect of the splitting of the sample period on the one hand, and the impact of the aggregation on the other hand, on the long me-mory process. Our main results show the strongest evidence of long memory presence in the absolute value of the returns.
Note: Downloadable document is in French. Number of Pages in PDF File: 46 Keywords: long memory, persistence phenomenon, stock markets JEL Classification: C14 - C22 - G15 working papers seriesDate posted: December 21, 2010Suggested Citation |
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