Long memory and non-linearity in Stock Markets

In this paper the long memory and non-linear properties of share prices in the UK’s Stock Exchange and AIM are explored. The results suggest that the most commonly traded shares exhibit long memory thus raising interesting issues about the validity of normal assumptions of market efficiencies.

MoreLess

Year of publication:	2006-09
Authors:	Bond, Derek ; Dyson, Kenneth

More details

Type of publication:	Book / Working Paper
Language:	English
Notes:	Bond, Derek and Dyson, Kenneth (2006): Long memory and non-linearity in Stock Markets.
Classification:	G14 - Information and Market Efficiency; Event Studies ; C22 - Time-Series Models
Source:	BASE

Persistent link: https://www.econbiz.de/10015223242