Detalle Publicación

ARTÍCULO
Long memory and data frequency in financial markets
Autores: Caporale, G. M. (Autor de correspondencia); Gil Alaña, Luis Alberiko; Plastun, A.
Título de la revista: JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
ISSN: 0094-9655
Volumen: 89
Número: 10
Páginas: 1763 - 1779
Fecha de publicación: 2019
Lugar: WOS
Resumen:
This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory approaches (R/S analysis and fractional integration) for robustness purposes. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true of the stock markets (both developed and emerging) and partially of the FOREX and commodity markets examined. Such evidence against the random walk behaviour implies predictability and is inconsistent with the Efficient Market Hypothesis (EMH), since abnormal profits can be made using trading strategies based on trend analysis.