Stock Returns and Long-Range Dependence

16 Pages Posted: 31 Mar 2019

See all articles by Emmanuel Nkrumah Ababio

Emmanuel Nkrumah Ababio

Ghana Baptist University College

Alexander Ayertey Odonkor

KNUST School of Business

Stephen Adu

Ghana Baptist University College

Richard Andoh

Kwame Nkrumah University of Science and Technology

Date Written: March 6, 2019

Abstract

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

Nkrumah Ababio, Emmanuel and Ayertey Odonkor, Alexander and Adu, Stephen and Andoh, Richard, Stock Returns and Long-Range Dependence (March 6, 2019). Available at SSRN: https://ssrn.com/abstract=3348115 or http://dx.doi.org/10.2139/ssrn.3348115

Emmanuel Nkrumah Ababio

Ghana Baptist University College ( email )

PMB
Amakom
Kumasi
Ghana

Alexander Ayertey Odonkor (Contact Author)

KNUST School of Business ( email )

KNUST School of Business
University Post Office
Kumasi
Ghana

Stephen Adu

Ghana Baptist University College ( email )

PMB
Amakom
Kumasi
Ghana

Richard Andoh

Kwame Nkrumah University of Science and Technology ( email )

Kumasi
Ghana

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