LONG-TERM MEMORY IN STOCK MARKET RETURNS: INTERNATIONAL EVIDENCE

By Shibley Sadique, P. Silvapulle. 2001

205 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/03987feb014a312c5a32fae716011b9fa46c9578

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. K. Lim
2. R. Brooks
3. N. Sghaier
4. Heni Boubaker
5. Jae Hyun Kim

In Finance

1. K. Lim
2. R. Brooks
3. N. Sghaier
4. Heni Boubaker
5. Jae Hyun Kim

Citations in the corpus

• Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. (2013, background): “Moreover, there is evidence of long memory in the mean and in the variance of financial returns (Crato, 1994; Lobato and Savin, 1998; Sadique and Silvapulle, 2001).”
• The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, methodology): “Using a battery of four different statistical tests, Sadique and Silvapulle (2001) find evidence of long memory in the weekly stock returns for four of their seven sampled markets.”