Long Memory in the Greek Stock Market

23 Pages Posted: 13 Nov 1997

See all articles by John T. Barkoulas

John T. Barkoulas

University of Tennessee, Knoxville - College of Business Administration - Department of Economics

Nickolaos G. Travlos

ALBA Graduate Business School; University of Surrey

Christopher F. Baum

Boston College - Department of Economics

Date Written: July 15, 1997

Abstract

We test for stochastic long memory in the Greek stock market, an emerging capital market. The fractional differencing parameter is estimated using the spectral regression method. Contrary to findings for major capital markets, significant and robust evidence of positive long-term persistence is found in the Greek stock market. As compared to benchmark linear models, the estimated fractional models provide improved out-of-sample forecasting accuracy for the Greek stock returns series over longer forecasting horizons.

JEL Classification: G14, G15, C53

Suggested Citation

Barkoulas, John T. and Travlos, Nickolaos G. and Travlos, Nickolaos G. and Baum, Christopher (Kit) F., Long Memory in the Greek Stock Market (July 15, 1997). Available at SSRN: https://ssrn.com/abstract=33672 or http://dx.doi.org/10.2139/ssrn.33672

John T. Barkoulas

University of Tennessee, Knoxville - College of Business Administration - Department of Economics

508 Stokely Management Center
Knoxville, TN 37996-0550
United States

Nickolaos G. Travlos

ALBA Graduate Business School ( email )

Athinas Ave. & 2A Areos Str.
Vouliagmeni 166 71, Athens
Greece

HOME PAGE: http://www.alba.edu.gr

University of Surrey ( email )

Guildford
Guildford, Surrey GU2 5XH
United Kingdom

Christopher (Kit) F. Baum (Contact Author)

Boston College - Department of Economics ( email )

140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States
617-552-3673 (Phone)
617-552-2308 (Fax)