Antipersistence in German stock returns

  • Persistence of stock returns is an extensively studied and discussed theme in the analysis of financial markets. Antipersistence is usually attributed to volatilities. However, not only volatilities but also stock returns can exhibit antipersistence. Antipersistent noise has a somewhat rougher appearance than Gaussian noise. Heuristically spoken, price movements are more likely followed by movements in the opposite direction than in the same direction. The pertaining integrated process exhibits a smaller range – prices seem to stay in the vicinity of the initial value. We apply a widely used test based upon the modified R/S-Method by Lo [1991] to daily returns of 21 German stocks from 1960 to 2008. Combining this test with the concept of moving windows by Carbone et al. [2004], we are able to determine periods of antipersistence for some of the series under examination. Our results suggest that antipersistence can be found for stocks and periods where extraordinary corporate actions such as mergers & acquisitions or financial distressPersistence of stock returns is an extensively studied and discussed theme in the analysis of financial markets. Antipersistence is usually attributed to volatilities. However, not only volatilities but also stock returns can exhibit antipersistence. Antipersistent noise has a somewhat rougher appearance than Gaussian noise. Heuristically spoken, price movements are more likely followed by movements in the opposite direction than in the same direction. The pertaining integrated process exhibits a smaller range – prices seem to stay in the vicinity of the initial value. We apply a widely used test based upon the modified R/S-Method by Lo [1991] to daily returns of 21 German stocks from 1960 to 2008. Combining this test with the concept of moving windows by Carbone et al. [2004], we are able to determine periods of antipersistence for some of the series under examination. Our results suggest that antipersistence can be found for stocks and periods where extraordinary corporate actions such as mergers & acquisitions or financial distress are present. These effects should be properly accounted for when choosing and designing models for inference.show moreshow less

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Metadaten
Author:Karl-Kuno Kunze, Hans Gerhard Strohe
URN:urn:nbn:de:kobv:517-opus-45582
Series (Serial Number):Statistische Diskussionsbeiträge (39)
Document Type:Book
Language:English
Date of Publication (online):2010/08/03
Year of Completion:2010
Publishing Institution:Universität Potsdam
Release Date:2010/08/03
Tag:Antipersistence; capital and ownership structure; efficient market hypothesis; long memory; mergers and acquisitions; stock returns
Organizational units:Wirtschafts- und Sozialwissenschaftliche Fakultät / Wirtschaftswissenschaften
Dewey Decimal Classification:3 Sozialwissenschaften / 31 Statistiken / 310 Sammlungen allgemeiner Statistiken
JEL Classification:C Mathematical and Quantitative Methods / C2 Single Equation Models; Single Variables / C22 Time-Series Models; Dynamic Quantile Regressions (Updated!)
C Mathematical and Quantitative Methods / C5 Econometric Modeling / C52 Model Evaluation and Selection
G Financial Economics / G3 Corporate Finance and Governance / G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure
G Financial Economics / G3 Corporate Finance and Governance / G34 Mergers; Acquisitions; Restructuring; Corporate Governance
Licence (German):License LogoKeine Nutzungslizenz vergeben - es gilt das deutsche Urheberrecht
Notes extern:
RVK-Notation: QH 200
Zugleich gedruckt erschienen:
Kunze, Karl-Kuno; Strohe, Hans Gerhard: Antipersistance in German stock returns / Karl-Kuno Kunze; Hans Gerhard Strohe. - Potsdam : Univ., 2010
(Statistische Diskussionsbeiträge ; 39)
ISSN 0949-068X