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.
Author details: | Karl-Kuno Kunze, Hans Gerhard StroheGND |
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URN: | urn:nbn:de:kobv:517-opus-42046 |
Publication series (Volume number): | Statistische Diskussionsbeiträge (37) |
Publication type: | Monograph/Edited Volume |
Language: | English |
Publication year: | 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 |
DDC classification: | 3 Sozialwissenschaften / 31 Statistiken / 310 Sammlungen allgemeiner Statistiken |
License (German): | Keine öffentliche Lizenz: Unter Urheberrechtsschutz |
External remark: | 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 |