Long memory and nonlinearity in stock markets

Abstract

In this article the long memory and nonlinear properties of share prices in the UK's stock exchange and alternative investment markets are explored. The results suggest that the most commonly traded shares exhibit long memory. Thus, the validity of market efficiency is questioned.

Notes

¹ Using the MATLAB code supplied by the authors.

² The Gauss code provided by the authors was used.

³ The Gauss code supplied by Hamilton (http://weber.ucsd.edu/~jhamilto) was used.