A wavelet-based evaluation of time-varying long memory of equity markets: A paradigm in crisis

Chin, Wen Cheong and Tan,, Pei P. and Galagedera, Don U.A. (2014) A wavelet-based evaluation of time-varying long memory of equity markets: A paradigm in crisis. Physica A: Statistical Mechanics and its Applications, 410. pp. 345-358. ISSN 0378-4371

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Abstract

This study, using wavelet-based method investigates the dynamics of long memory in the returns and volatility of equity markets. In the sample of five developed and five emerging markets we find that the daily return series from January 1988 to June 2013 may be considered as a mix of weak long memory and mean-reverting processes. In the case of volatility in the returns, there is evidence of long memory, which is stronger in emerging markets than in developed markets. We find that although the long memory parameter may vary during crisis periods (1997 Asian financial crisis, 2001 US recession and 2008 subprime crisis) the direction of change may not be consistent across all equity markets. The degree of return predictability is likely to diminish during crisis periods. Robustness of the results is checked with de-trended fluctuation analysis approach.

Item Type: Article
Subjects: Q Science > Q Science (General)
Divisions: Faculty of Management (FOM)
Depositing User: Ms Suzilawati Abu Samah
Date Deposited: 07 Jul 2014 03:40
Last Modified: 07 Jul 2014 03:40
URI: http://shdl.mmu.edu.my/id/eprint/5562

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