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- W3100215293 abstract "We present a multifarious view on the presence of long memory across 33 countries, subsampled as developed, emerging and frontier economies for the period 2000–2018. We employ the classical rescaled range test, and two semi-parametric tests proposed by Geweke Porter-Hudak (1983) and the frequency domain test proposed by Robinson (1995) to decipher the presence of long memory. The results confirm that while there exists no long-range dependence for developed countries, the return series in the emerging and the frontier countries display long memory characteristics. The rationale for such result emerges from market quality parameters such as size, liquidity, trading and settlement mechanism or sound regulatory framework. These results are of importance for the global investor community for asset allocation, risk management and portfolio diversification purposes." @default.
- W3100215293 created "2020-11-23" @default.
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- W3100215293 date "2020-11-08" @default.
- W3100215293 modified "2023-10-17" @default.
- W3100215293 title "Revisiting the Long Memory in Global Stock Market Returns: An Empirical Analysis" @default.
- W3100215293 doi "https://doi.org/10.1177/0972150920966879" @default.
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