Long Memory in Emerging Market Stock Returns

20 Pages Posted: 17 Aug 2000

See all articles by Jonathan H. Wright

Jonathan H. Wright

Johns Hopkins University - Department of Economics

Date Written: October 1999

Abstract

Many authors have investigated the possibility of long memory in asset returns. Generally, very little evidence has been found for long memory in either stock returns or exchange rate returns. This paper applies the log-periodogram regression to a wide range of emerging market stock returns and finds some evidence for positive long memory in 7 of the 17 series considered.

Keywords: Long memory, stock returns, frequency domain, emerging markets

JEL Classification: C22, G15

Suggested Citation

Wright, Jonathan H., Long Memory in Emerging Market Stock Returns (October 1999). Available at SSRN: https://ssrn.com/abstract=231815 or http://dx.doi.org/10.2139/ssrn.231815

Jonathan H. Wright (Contact Author)

Johns Hopkins University - Department of Economics ( email )

3400 Charles Street
Baltimore, MD 21218-2685
United States

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