Long memory in stock returns: evidence from the major emerging Central European stock markets

KASMAN S., TURGUTLU E., Ayhan A. D.

APPLIED ECONOMICS LETTERS, cilt.16, sa.17, ss.1763-1768, 2009 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 16 Sayı: 17
  • Basım Tarihi: 2009
  • Doi Numarası: 10.1080/13504850701663231
  • Dergi Adı: APPLIED ECONOMICS LETTERS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.1763-1768
  • Dokuz Eylül Üniversitesi Adresli: Evet

Özet

This article analyses the long-memory properties of the daily stock market returns of four major emerging Central European countries, the Czech Republic, Hungary, Poland and the Slovak Republic. We use the semi-parametric method of Geweke and Porter-Hudak (1983) and parametric method of Sowell (1992). The results indicate a significant long memory in the return series of the Slovak Republic. The evidence of long memory in Hungary and the Czech Republic is, however weak. Poland is the only market exhibiting short memory. Since long-memory property is inconsistent with the market efficiency, there is still room for the investors to receive unexploited profits in the stock market of the Slovak Republic.