North Africa Stock Markets: Analysis of Long Memory and Persistence of Shocks

International Journal Monetary Economics and Finance, Vol. 3, No. 2, 2010

11 Pages Posted: 16 Nov 2012

Date Written: November 14, 2012

Abstract

This paper investigates long-memory behavior of stock returns of Egypt, Tunisa and Morrocco stock markets using daily stock price data. Results in the paper support evidence of stationary short-memory process for the returns of the three markets. Short memory of stock returns implies that most recent lagged returns have more predictive power for future returns than long-term factors. It is also indicated in the paper that stock returns volatility behave as a short-memory process. Short-memory behavior of volatility indicates that the effect of a shock to volatility tends to dissipate within a short period of time.

Suggested Citation

Onour, Ibrahim, North Africa Stock Markets: Analysis of Long Memory and Persistence of Shocks (November 14, 2012). International Journal Monetary Economics and Finance, Vol. 3, No. 2, 2010, Available at SSRN: https://ssrn.com/abstract=2175520

Ibrahim Onour (Contact Author)

University of Khartoum ( email )

Shumbat
Khartoum North
Khartoum, Khartoum 13314
Sudan

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