Long memory in the ukrainian stock market and financial crises

Guglielmo Maria Caporale, Luis Gil-Alana, Alex Plastun and Inna Makarenko ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different long memory approaches (R/S analysis and fractional integration) we show that this market is inefficient and the degree of persistence is not the same in different stages of the financial crisis. Therefore trading strategies might have to be modified. We also show that data smoothing is not advisable in the context of R/S analysis.

Keywords: persistence; long memory; R/S analysis; fractional integration (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Date: 2013-10
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:59061

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