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 | American English |
|---|---|
| Journal | Economics Letters |
| Volume | 53 |
| State | Published - 1996 |
Disciplines
- Finance
Keywords
- Long term dependence
- Stock returns