Long Memory in the Ukrainian Stock Market and Financial Crises

Working Paper No. 13-27. – Brunel University, London

31 Pages Posted: 4 Oct 2014

See all articles by Guglielmo Maria Caporale

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Luis A. Gil-Alana

University of Navarra - Department of Economics

Oleksiy Plastun

Sumy State University

Inna Makarenko

National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine

Date Written: October 3, 2013

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.

Keywords: Persistence, Long Memory, R/S Analysis, Fractional Integration

JEL Classification: C22, G12

Suggested Citation

Caporale, Guglielmo Maria and Gil-Alana, Luis A. and Plastun, Oleksiy and Makarenko, Inna, Long Memory in the Ukrainian Stock Market and Financial Crises (October 3, 2013). Working Paper No. 13-27. – Brunel University, London, Available at SSRN: https://ssrn.com/abstract=2504985 or http://dx.doi.org/10.2139/ssrn.2504985

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance ( email )

Kingston Lane
Marie Jahoda Building
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+44 1895 269770 (Fax)

HOME PAGE: http://www.brunel.ac.uk/about/acad/bbs/bbsstaff/ef_staff/guglielmocaporale/

London South Bank University ( email )

Centre for Monetary and Financial Economics
London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstraße 58
Berlin, 10117
Germany

Luis A. Gil-Alana

University of Navarra - Department of Economics ( email )

Campus de Arrosadia
Pamplona, 31006
Spain

Oleksiy Plastun (Contact Author)

Sumy State University ( email )

Rymskyi-Korsakov str., 2
Sumy, 40000
Ukraine

Inna Makarenko

National Bank of Ukraine - Ukrainian Academy of Banking of the National Bank of Ukraine

57, Petropavlivska str.
Sumy, 40030
Ukraine

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