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Applied Economics Letters Volume 16, 2009 - Issue 17
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Original Articles

Long memory in stock returns: evidence from the major emerging Central European stock markets

Saadet Kasman Faculty of Business, Department of Economics, Dokuz Eylul University, 35160 Buca, Izmir, Turkey
,
Evrim Turgutlu Faculty of Business, Department of Economics, Dokuz Eylul University, 35160 Buca, Izmir, Turkey
&
A. Duygu Ayhan Faculty of Business, Department of Economics, Dokuz Eylul University, 35160 Buca, Izmir, TurkeyCorrespondence[email protected]
Pages 1763-1768 | Published online: 20 Feb 2008

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Kian-Ping Lim, Weiwei Luo & Jae H. Kim. (2013) Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests. Applied Economics 45:8, pages 953-962.
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Silvo Dajčman, Mejra Festić & Alenka Kavkler. (2013) Multiscale test of CAPM for three Central and Eastern European stock markets. Journal of Business Economics and Management 14:1, pages 54-76.
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Silvo Dajcman. (2012) Time-varying long-range dependence in stock market returns and financial market disruptions – a case of eight European countries. Applied Economics Letters 19:10, pages 953-957.
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Articles from other publishers (9)

Leticia Pérez-Sienes, Mar Grande, Juan Carlos Losada & Javier Borondo. (2023) The Hurst Exponent as an Indicator to Anticipate Agricultural Commodity Prices. Entropy 25:4, pages 579.
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F. N. M. de Sousa Filho, J. N. Silva, M. A. Bertella & E. Brigatti. (2021) The Leverage Effect and Other Stylized Facts Displayed by Bitcoin Returns. Brazilian Journal of Physics 51:3, pages 576-586.
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Laura Raisa Miloş, Cornel Haţiegan, Marius Cristian Miloş, Flavia Mirela Barna & Claudiu Boțoc. (2020) Multifractal Detrended Fluctuation Analysis (MF-DFA) of Stock Market Indexes. Empirical Evidence from Seven Central and Eastern European Markets. Sustainability 12:2, pages 535.
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V. Dimitrova, M. Fernández-Martínez, M. A. Sánchez-Granero & J. E. Trinidad Segovia. (2019) Some comments on Bitcoin market (in)efficiency. PLOS ONE 14:7, pages e0219243.
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Lisana B. Martinez, M. Belén Guercio, Aurelio Fernandez Bariviera & Antonio Terceño. (2016) The impact of the financial crisis on the long-range memory of European corporate bond and stock markets. Empirica 45:1, pages 1-15.
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Aurelio F. Bariviera, María José Basgall, Waldo Hasperué & Marcelo Naiouf. (2017) Some stylized facts of the Bitcoin market. Physica A: Statistical Mechanics and its Applications 484, pages 82-90.
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강주화 & 윤성민. (2015) The Long-Memory Property of Returns and Volatility in the Chinese Stock Market and the Issue of Contemporaneous Aggregation. The Journal of Eurasian Studies 12:2, pages 45-71.
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Chaker Aloui & Hela ben Hamida. (2014) Modelling and forecasting value at risk and expected shortfall for GCC stock markets: Do long memory, structural breaks, asymmetry, and fat-tails matter?. The North American Journal of Economics and Finance 29, pages 349-380.
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Sang Hoon Kang, Ron Mclver, Sung-Yong Park & Seong-Min Yoon. (2014) Long Memory Features Evolve in the Time-varying Process in Asia-pacific Foreign Exchange Markets. Procedia Economics and Finance 14, pages 286-294.
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