Long-range dependence and market structure

In this paper, we have found that although the Dow Jones Average Industrial Index does not possess long-range dependence in mean returns, individual stocks that form the index do. These results were obtained using the Local Whittle estimation procedure. Most stocks seem to be anti-persistent with Hurst exponents below 0.5, which is in line with mean reversion in the long run. Furthermore, open–open returns possess a stronger degree of anti-persistence than close–close returns due to market structure effects.