Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/156139
Authors: 
Caporale, Guglielmo Maria
Gil-Alaña, Luis A.
Plastun, Alex
Year of Publication: 
2017
Series/Report no.: 
DIW Discussion Papers 1647
Abstract: 
This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory approaches (R/S analysis and fractional integration) for robustness purposes. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true of the stock markets (both developed and emerging) and partially of the FOREX and commodity markets examined. Such evidence against the random walk behavior implies predictability and is inconsistent with the Efficient Market Hypothesis (EMH), since abnormal profits can be made using specific option trading strategies (butterfly, straddle, strangle, iron condor, etc.).
Subjects: 
Persistence
Long Memory
R/S Analysis
Fractional Integration
JEL: 
C22
G12
Document Type: 
Working Paper

Files in This Item:
File
Size
457.28 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.