Financial Markets between Efficiency and Persistence: Empirical Evidence on Daily Data | Zendy

Kaouther Flifel | Zendy

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Financial Markets between Efficiency and Persistence: Empirical Evidence on Daily Data

Author(s) -

Kaouther Flifel

Publication year - 2012

Publication title -

asian journal of finance and accounting

Language(s) - English

Resource type - Journals

ISSN - 1946-052X

DOI - 10.5296/ajfa.v4i2.1827

Subject(s) - autoregressive fractionally integrated moving average , hurst exponent , economics , efficient market hypothesis , corollary , persistence (discontinuity) , econometrics , capital market , financial economics , stock (firearms) , long memory , financial market , stock market , volatility (finance) , finance , statistics , mathematics , geography , context (archaeology) , geotechnical engineering , archaeology , pure mathematics , engineering

Today, the assumption of efficient capital markets is very controversial, especially in these times of crisis, and is challenged by research showing that the pricing was distorted by detection of long memory. This study aims to test the existence of the persistence effect using statistical analysis such as R/S, its corollary named Hurst exponent and the ARFIMA process. In practical terms, our research was conducted on daily data on stock returns of 21 countries classified into three groups according to their levels of development over the period from January 2000 to December 2010. The results obtained allowed us to conclude that the property of of long rang dependence tend to be associated with relatively thin stocks

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