Short and Long Run Dependence in Swedish Stock Returns

1996:19

19 Pages Posted: 4 Dec 1996

See all articles by Lennart Berg

Lennart Berg

Uppsala University - Department of Economics

Johan Lyhagen

Uppsala University - Department of Information Science

Date Written: September 1996

Abstract

The behavior of Swedish stock returns over short and long run horizons is analyzed. Using monthly data from 1919 to 1995 and, weekly and daily data for the 1980s and first part of the 1990s we hardly found any evidence of long run dependence. Using three different tests that are robust to short term dependence and conditional hetroskedasticity we found that the modified R/S (rescaled range) test and ARFIMA-GARCH tests provide no support for long run memory in Swedish stock returns. Only the fractional differencing test, GPH, gave a significant result in two cases: for nominal monthly stock returns for the full and the first half of sample at rather high frequency for the spectral analysis.

JEL Classification: G14

Suggested Citation

Berg, Lennart and Lyhagen, Johan, Short and Long Run Dependence in Swedish Stock Returns (September 1996). 1996:19, Available at SSRN: https://ssrn.com/abstract=2270 or http://dx.doi.org/10.2139/ssrn.2270

Lennart Berg (Contact Author)

Uppsala University - Department of Economics ( email )

Box 513
SE-75120 Uppsala
Sweden
46-18-18-11-17 (Phone)
46-18-18-14-78 (Fax)

Johan Lyhagen

Uppsala University - Department of Information Science ( email )

S-751 05 Uppsala
Sweden

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
547
Abstract Views
1,990
rank
75,022
PlumX Metrics