Time-varying persistence in the German stock market

  • This paper studies the persistence of daily returns of 21 German stocks from 1960 to 2008. We apply a widely used test based upon the modified R/S-Method by Lo [1991]. As an extension to Lux [1996] and Carbone et al. [2004] and in analogy to moving average or moving volatility, the statistics is calculated for moving windows of length 4, 8, and 16 years for every time series. Periods of persistence or long memory in returns can be found in some but not all time series. Robustness of results is verified by investigating stationarity and short memory effects.

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Metadaten
Author:Karl-Kuno Kunze, Hans Gerhard Strohe
URN:urn:nbn:de:kobv:517-opus-42046
Series (Serial Number):Statistische Diskussionsbeiträge (37)
Document Type:Book
Language:English
Date of Publication (online):2010/04/16
Year of Completion:2010
Publishing Institution:Universität Potsdam
Release Date:2010/04/16
Tag:Aktienmarkt; Persistenz
persistence; stock market
RVK - Regensburg Classification:QH 200
Organizational units:Wirtschafts- und Sozialwissenschaftliche Fakultät / Wirtschaftswissenschaften
Dewey Decimal Classification:3 Sozialwissenschaften / 31 Statistiken / 310 Sammlungen allgemeiner Statistiken
Licence (German):License LogoKeine Nutzungslizenz vergeben - es gilt das deutsche Urheberrecht
Notes extern:
Zugleich gedruckt erschienen:
Kunze, Karl-Kuno, Strohe, Hans Gerhard: Time-varying persistence in the German stock market / Karl-Kuno Kunze; Hans Gerhard Strohe. - Potsdam : Univ., 2010
(Statistische Diskussionsbeiträge ; 37)
ISSN 0949-068X