Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71129
Authors: 
Caporale, Guglielmo Maria
Gil-Alana, Luis Alberiko
Year of Publication: 
2013
Series/Report no.: 
DIW Discussion Papers 1279
Abstract: 
This paper examines the dynamics of stock prices in Ukraine by estimating the degree of persistence of the PFTS stock market index. Using long memory techniques we show that the log prices series is I(d) with d slightly above 1, implying that returns are characterised by a small degree of long memory and thus are predictable using historical data. Moreover, their volatility, measured as the absolute and squared returns, also displays long memory. Finally, we examine if the time dependence is affected by the day of the week; the results indicate that Mondays and Fridays are characterised by higher dependency, consistently with the literature on anomalies in stock market prices.
Subjects: 
Stock market prices
Efficient market hypothesis
Long memory
Fractional integration
JEL: 
C22
G12
Document Type: 
Working Paper

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