All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Jussi Tolvi
 
''Long memory in a small stock market''
( 2003, Vol. 7 No.3 )
 
 
The presence of long memory in Finnish stock market return data is tested using nonparametric methods. The data set has daily returns on six indices and forty companies. Depending on the testing method used, statistically significant long memory is detected in 24% to 67% of the series. This is considerably more than what is usually found in data of this kind.
 
 
Keywords:
JEL:
C5 - Econometric Modeling: General
 
Manuscript Received : Mar 21 2003 Manuscript Accepted : May 19 2003

  This abstract has been downloaded 802 times                The Full PDF of this paper has been downloaded 87720 times