haku: @author Cheung, Y. / yhteensä: 4
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| Tekijä: | Cheung, Y. Lai, K. |
| Otsikko: | A search for long memory in international stock market returns |
| Lehti: | Journal of International Money and Finance
1995 : AUG, VOL. 14:4, p. 597-615 |
| Asiasana: | INTERNATIONAL STOCK MARKETS RETURN ON INVESTMENT |
| Kieli: | eng |
| Tiivistelmä: | A major issue in financial economics is the behaviour of stock returns over long as opposed to short horizons. This study provides empirical evidence from the perspective of long memory analysis. International evidence on long memory is explored using the Morgan Stanley Capital International stock index data for eighteen countries. Two tests that are robust to short-term dependence and conditional heteroskedasticity are employed. |
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