Show simple item record

AuthorSadique M. Shibley
AuthorShimon, Zubair Ahmed
Available date2009-11-25T12:41:43Z
Publication Date2007
Publication NameStudies of Business and Economics
CitationStudies of Business and Economics, 2007, Vol. 13, No. 2, Pages 25-37.
URIhttp://hdl.handle.net/10576/6860
AbstractThis 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).
Languageen
PublisherQatar University
SubjectStock Exchange
TitleLong Memory in Stock Returns: Evidence from The Dhaka Stock Exchange
TypeArticle
Pagination25-37
Issue Number2
Volume Number13


Files in this item

Icon

This item appears in the following Collection(s)

Show simple item record