Stock Returns and Long-Range Dependence
16 Pages Posted: 31 Mar 2019
Date Written: March 6, 2019
This study throws more light on the long memory behaviour of stock returns on the Ghana stock Exchange (GSE). The researchers examined the long memory of stock returns and volatility prioritizing the weak form efficiency of the Efficient Market Hypothesis. The estimates employed are based on the daily closing prices of seven stocks on the Ghana Stock Exchange. The results of the ARFIMA-FIGARCH model suggest that the stock returns are characterized by a predictable component; this demonstrates a complete departure from the Efficient Market Hypothesis suggesting that relevant market information was only partially reflected in the changes in stock prices. This pattern of time dependence in stock returns may allow for past information to be used to improve the predictability of future returns.
Keywords: ARFIMA, FIGARCH, GSE, Long Memory, Stock Returns
JEL Classification: G12, C14
Suggested Citation: Suggested Citation