Persistence in Emerging Market Stock Returns: Empirical Evidence from Six Stock Markets

This paper examines the persistence in stock return series based on the stock price index for six countries. The order of fractional differencing is estimated using approximate maximum likelihood method. Persistence of each series is evaluated using the time required for a given percentage of the effect of a shock to dissipate. We find that stock return series show no significant persistence. Eighty percent of the effect of the shock on the value of the series disappears after two periods. The evidence provided by this paper shows that these series are antipersistent processes and have low persistency.