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.
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