Long Memory in the Greek Stock Market
23 Pages Posted: 13 Nov 1997
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: 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
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