Long Memory in the Greek Stock Market

John Barkoulas, Christopher Baum and Nickolas Travlos
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Nickolas Travlos: University of Piraeus and Athens Laboratory of Business Administration

No 356., Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: We test for stochastic long memory in the Greek stock market, an emerging capital market. The fractional differencing parameter is estimated using the spectral regression method. Contrary to findings for major capital markets, significant and robust evidence of positive long-term persistence is found in the Greek stock market. As compared to benchmark linear models, the estimated fractional models provide improved out-of-sample forecasting accuracy for the Greek stock returns series over longer forecasting horizons.

Keywords: emerging capital markets; long memory; forecasting; ARFIMA processes; spectral regression (search for similar items in EconPapers)
JEL-codes: C53 G14 G15 (search for similar items in EconPapers)
Pages: 23 pages
Date: 1996-12-01
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Citations: View citations in EconPapers (20)

Published, Applied Financial Economics, 2000, 10:2, 177-184.

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Journal Article: Long memory in the Greek stock market (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:356

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