Long memory in the Greek stock market

Author: Barkoulas John T.   Baum Christopher F.   Travlos Nickolaos  

Publisher: Routledge Ltd

ISSN: 1466-4305

Source: Applied Financial Economics, Vol.10, Iss.2, 2000-04, pp. : 177-184

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Tests are made of the stochastic long memory in the Greek stock market, an emerging capital market. The fractional differencing parameter is estimated using the spectral regression method. Contrary to findings for major capital markets, significant and robust evidence of positive long-term persistence is found in the Greek stock market. As compared to benchmark linear models, the estimated fractional models provide improved out-of-sample forecasting accuracy for the Greek stock returns series over longer forecasting horizons.