Long-term and short-term price memory in the stock market. (English) Zbl 0900.90023
Summary: In this study we examine the issue of memory in common stock returns through an analysis of short- and long-term dependencies in various equity return series. We conclude that there is no compelling evidence that would support a finding of systematic dependencies in the behavior of equity returns.
MSC:
| 91B28 | Finance etc. (MSC2000) |
References:
| [1] | Andrews, D., Non-strong mixing autoreressive process, Journal of Applied Probability, 21, 930-934 (1984) · Zbl 0552.60049 |
| [2] | Bachelier, L., Theorie de la speculation (1900), Gauthier-Villars: Gauthier-Villars Paris · JFM 31.0075.12 |
| [3] | Branch, B., A tax loss trading rule, Journal of Business, 198-207 (1977), April |
| [4] | Dyl, E., The effect of capital gains taxation on the stock market, (Ph.D. Dissertation (1973), Stanford University Graduate School of Business) |
| [5] | Chow, K. V.; Denning, K. C., A simple multiple variance ratio test, Journal of Econometrics, 58, 385-401 (1993) · Zbl 0776.62086 |
| [6] | Constantinides, G., Optimal stock trading with personal taxes: Implications for prices and the abnormal January returns, Journal of Financial Economics, 13, 65-89 (1984) |
| [7] | Fama, E. F., The behavior of stock market prices, Journal of Business, 38, 34-105 (1965), January · Zbl 0129.11903 |
| [8] | Fama, E. F., Efficient capital markets: A review of theory and empirical work, Journal of Finance, 25, 383-417 (1970) |
| [9] | Keim, D., Size-related anomalies and stock return seasonality: Further empirical evidence, Journal of Financial Economics, 13-32 (1983), June |
| [10] | Lo, A. W., Long-term memory and stock market prices, Econometrica, 59, 1279-1313 (1991), September · Zbl 0781.90023 |
| [11] | Lo, A. W.; MacKinlay, C., Stock market prices do not follow random walks: Evidence from a simple specification test, Review of Financial Studies, 1, 42-66 (1988) |
| [12] | Mandelbrot, B., Statistical methodology for non-periodic cycles: From the covariance to R/S analysis, Annals of Economic and Social Measurement, 1, 259-290 (1972) |
| [13] | Newey, W.; West, K., A simple positive definite, heteroscedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703-705 (1987) · Zbl 0658.62139 |
| [14] | Osborne, M. F.M., Brownian motion in the stock market, Operations Research, 7, 145-173 (1959) · Zbl 1414.91427 |
| [15] | Reinganum, M., Abnormal returns in small firm portfolios, Financial Analyst Journal, 37, 71 (1981) |
| [16] | Reinganum, M., The anomalous stock market behavior of small firms in January: Empirical tests for tax loss-selling effects, Journal of Financial Economics, 89-104 (1983), June |
| [17] | Roll, R., A possible explanation of the small firm effect, Journal of Finance, 36, 879-888 (1981) |
| [18] | Roll, R., The turn of the year effect and the return behavior of small firms, Journal of Portfolio Management, 9, 18-28 (1983) |
| [19] | Rozeff, M. S.; Kinney, W. R., Capital market seasonality: The case of stock returns, Journal of Financial Economics, 3, 379-402 (1976) |
| [20] | Taqqu, M., Weak convergence to fractional Brownian motion and to the Rosenblath process, Z Wahrscheinlichkeitstheorie verw. Gebiete, 31, 276-302 (1975) · Zbl 0303.60033 |
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.
