Long Memory in Stock Returns: Evidence from The Dhaka Stock Exchange

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Long Memory in Stock Returns: Evidence from The Dhaka Stock Exchange

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dc.contributor.author Sadique M. Shibley en_US
dc.contributor.author Shimon, Zubair Ahmed en_US
dc.date.accessioned 2009-11-25T12:41:43Z
dc.date.available 2009-11-25T12:41:43Z
dc.date.issued 2007 en_US
dc.identifier.citation Studies of Business and Economics, 2007, Vol. 13, No. 2, Pages 25-37. en_US
dc.identifier.uri http://hdl.handle.net/10576/6860
dc.description.abstract This study examines the long memory property in the weekly return series and its certain transformations of the Dhaka Stock Exchange over the period of January 1989 to January 2004. Well-known methods for detecting the long memory property of a time series such as the classical rescaled range (originally developed by Hurst, 1951) and its modified version propounded by Lo (1991) are used. Empirical results obtained in this study suggest statistically significant but weak evidence of long memory for weekly stock returns at levels. But for nonlinear transformations of return, such as the absolute and squared returns, the series show strong and significant long memory. The finding that above mentioned transformations of return series contain long memory supports the claim made by Taylor (1986) and Ding et al. (1993). en_US
dc.language.iso en en_US
dc.publisher Qatar University en_US
dc.subject Stock Exchange en_US
dc.title Long Memory in Stock Returns: Evidence from The Dhaka Stock Exchange en_US
dc.type Article en_US
dc.identifier.pagination 25-37 en_US
dc.identifier.issue 2 en_US
dc.identifier.volume 13 en_US

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