107
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

A note on the general elections and long memory: evidence from the London Stock Exchange

&
Pages 331-335 | Published online: 26 Sep 2008

References

  • Barkoulas , J. T. and Baum , C. F. 1996 . Long-term dependence in stock returns . Economic Letters , 53 : 253 – 59 .
  • Barkoulas , J. T. , Baum , C. F. and Travlos , N. 2000 . Long memory in the Greek stock market . Applied Financial Economics , 10 : 177 – 84 .
  • Cheung , Y. W. 1993 . Long memory in foreign-exchange rates . Journal of Business and Economic Statistics , 11 : 93 – 101 .
  • Cheung , Y. W. and Lai , K. 1995 . A search for long memory in international stock market returns . Journal of International Money and Finance , 14 : 597 – 615 .
  • Crato , N. 1994 . Some international evidence regarding the stochastic behaviour of stock returns . Applied Financial Economics , 4 : 33 – 9 .
  • Davidson, J. (2005) Time Series Modeling Version 4.10: User Guide http://www.timeseriesmodelling.com
  • Diebold , F. and Rudebusch , G. 1989a . Long memory and persistence in aggregate output . Journal of Monetary Economics , 24 : 189 – 209 .
  • Diebold , F. and Rudebusch , G. 1989b . On the power of Dickey-Fuller tests against fractional alternatives . Economics Letters , 35 : 155 – 60 .
  • Diebold , F. , Husted , S. and Rush , M. 1991 . Real exchange rate under gold standard . Journal of Political Economy , 99 : 1252 – 71 .
  • Fama , E. F. 1965 . The behavior of stock market prices . Journal of Business , 38 : 34 – 105 .
  • Geweke , J. and Porter-Hudak , S. 1983 . The estimation and application of long-memory time series model . Journal of Time Series Analysis , 4 : 221 – 38 .
  • Granger , C. W. J. and Joyeux , R. 1980 . An introduction to long-memory time series and fractional differencing . Journal of Time Series Analysis , 4 : 221 – 38 .
  • Greene , M. and Fielitz , B. 1977 . Long-term dependence in common stock returns . Journal of Financial Economics , 4 : 339 – 49 .
  • Hosking , J. R. M. 1981 . Fractional differencing . Biometrika , 68 : 165 – 76 .
  • Hudson , R. , Keasey , K. and Dempsey , M. 1998 . Share prices under Tory and Labour governments in the UK since 1945 . Applied Financial Economics , 8 : 389 – 400 .
  • Kilic , R. 2004 . On the long memory properties of emerging capital markets: evidence from Instanbul stock exchange . Applied Financial Economics , 14 : 915 – 22 .
  • Lo , A. W. 1991 . Long-term memory in stock market prices . Econometrica , 59 : 1279 – 313 .
  • Maddala , G. S. and Kim , L. M. 1998 . Unit Roots, Cointegration and Structural Change , Cambridge : Cambridge University Press .
  • Mandelbrot , B. 1971 . When can price be arbitraged efficiently? A limit to the validity of the random walk and martingale models . Review of Economics and Statistics , 53 : 225 – 36 .
  • Niederhoffer , V. , Gibbs , S. and Bullock , J. 1970 . Presidential elections and the stock market . Financial Analysts Journal , 26 : 111 – 13 .
  • Peel , D. A. and Pope , P. F. 1983 . General elections in the UK in the post 1950 period and the behaviour of the stock market . Investment Analyst , 67 : 4 – 10 .
  • Peters , E. E. 1996 . Fractal Market Analysis: Applying Chaos Theory to Investment and Economics , New York : Wiley .
  • Riley , W. B. Jr and Luksetich , W. A. 1980 . The market prefers republicans: myth or reality . Journal of Financial and Quantitative Analysis , 15 : 541 – 60 .
  • Robinson , P. M. 1995 . Log-periodogram regression of time series with long range dependence . The Annals of Statistics , 23 : 1048 – 72 .
  • Sowell , F. 1990 . Fractional unit root distribution . Econometrica , 50 : 495 – 505 .
  • Sowell , F. 1992 . Modeling long-memory behaviour with fractional ARMA model . Journal of Monetary Economics , 29 : 277 – 302 .
  • Tsay , R. S. 2002 . Analysis of Financial Time Series , 74 New York : John Wiley & Sons, Inc. .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.