Long-memory in asset returns and volatility: evidence from West Africa
2016 ◽
Vol 13
(2)
◽
pp. 24-28
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Keyword(s):
This paper measures the degree of long-memory or long-range dependence in asset returns and volatility of two stock indices in Ghana and Nigeria. The presence of long-memory opens up opportunities for abnormal returns to be made by analyzing price history of a particular market. The authors employ the Hurst exponent to measure the degree of long-memory which is evaluated by a semiparametric method, the Local Whittle estimator. The findings show strong evidence of the presence of long-memory in both returns and volatility of the indices studied, suggesting that neither of the markets in Ghana and Nigeria is weak-form efficient
2018 ◽
Vol 13
(S340)
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pp. 47-48
2008 ◽
Vol 11
(05)
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pp. 669-684
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Keyword(s):
2021 ◽
Vol 37
(4)
◽
pp. 631-643
Keyword(s):
2021 ◽
Vol ahead-of-print
(ahead-of-print)
◽
Keyword(s):
2000 ◽
Vol 37
(04)
◽
pp. 1104-1109
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Keyword(s):