Long-term dependence in stock returns

John T. Barkoulas; Christopher F. Baum

doi:10.1016/S0165-1765(96)00935-4

Long-term dependence in stock returns

John T. Barkoulas, Christopher F. Baum

Finance

Boston College

Research output: Contribution to journal › Article › peer-review

126 Scopus citations

Abstract

We test for long-term dependence in US stock returns, analyzing composite and sectoral stock indices and firms' returns series to evaluate aggregation effects. Fractal dynamics are not detected in stock indices but are present in some firms' returns series.

Original language	English
Pages (from-to)	253-259
Number of pages	7
Journal	Economics Letters
Volume	53
Issue number	3
DOIs	https://doi.org/10.1016/S0165-1765(96)00935-4
State	Published - Dec 1996

Scopus Subject Areas

Finance
Economics and Econometrics

Keywords

Fractal dynamics
Long memory
Spectral regression
Stock returns

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10.1016/S0165-1765(96)00935-4

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title = "Long-term dependence in stock returns",

abstract = "We test for long-term dependence in US stock returns, analyzing composite and sectoral stock indices and firms' returns series to evaluate aggregation effects. Fractal dynamics are not detected in stock indices but are present in some firms' returns series.",

keywords = "Fractal dynamics, Long memory, Spectral regression, Stock returns",

author = "Barkoulas, \{John T.\} and Baum, \{Christopher F.\}",

year = "1996",

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KW - Fractal dynamics

KW - Long memory

KW - Spectral regression

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DO - 10.1016/S0165-1765(96)00935-4

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ER -

Long-term dependence in stock returns

Abstract

Scopus Subject Areas

Keywords

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