Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5056746 | Economic Systems | 2006 | 23 Pages |
Abstract
This paper presents empirical evidence of short and long-run predictability in stock returns for European transition economies. We employ variance ratios with a bootstrap methodology to test for short-run predictability, which is present in most countries. We also estimate Hurst exponents to test for long-range dependence, and find evidence of such. Furthermore, we find evidence of strong time-varying long-range dependence in these economies stock returns, which is in line with evidence of multifractality of equity returns.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Daniel O. Cajueiro, Benjamin M. Tabak,