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المؤلفSadique M. Shibley
المؤلفShimon, Zubair Ahmed
تاريخ الإتاحة2009-11-25T12:41:43Z
تاريخ النشر2007-09
اسم المنشورStudies in Business and Economics
الاقتباسStudies in Business and Economics, 2007, Vol. 13, No. 2, Pages 25-37.
معرّف المصادر الموحدhttp://hdl.handle.net/10576/6860
الملخصThis 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).
اللغةen
الناشرQatar University
الموضوعStock Exchange
العنوانLong Memory in Stock Returns: Evidence from The Dhaka Stock Exchange
النوعArticle
الصفحات25-37
رقم العدد2
رقم المجلد13
dc.accessType Open Access


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عرض بسيط للتسجيلة