Long memory in the Greek stock market

By John T. Barkoulas, Christopher F. Baum, N. Travlos. 2000

218 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/47a1e6aab573fecc25074945aacbedd6813dc9ee

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Citations in the corpus

Some stylized facts of the Bitcoin market (2017, background): “[9] finds evidence of long memory in the weekly returns of the Athens Stock Exchange during the period 1981-1990, and suggest that the strength of the memory could be influenced by the market size.”
Are US stock index returns predictable? Evidence from automatic autocorrelation-based tests (2013, background): “…2008; Hasanov, 2009; Kim et al., 2009), Variance Ratio (VR) tests (Huang, 1995; Chang and Ting, 2000; Smith, 2007; Hung et al., 2009), nonlinearity tests (Hamill et al., 2000; Panagiotidis, 2005, 2010; Lim and Brooks, 2009a) and long memory tests (Barkoulas et al., 2000; *Corresponding author.”
Do emerging markets become more efficient as they develop? Long memory persistence in equity indices (2014, background): “However, Barkoulas et al. (2000) noted that empirical studies have devoted very little attention to the issue of serial dependence in emerging markets.”
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals (2010, background): “On the other hand, if H < 0.5, it has significantly negative correlations at all lags and the process is said to be anti-persistent (Barkoulas et al. 2000).”
The inefficiency of Bitcoin revisited: a dynamic approach (2017, methodology): “s. As a corollary, returns time series cannot exhibit predictable memory content. However, there are several studies that ﬁnd long memory in ﬁnancial time series, using diﬀerent methods. For example, Barkoulas et al. (2000) and Blasco and Santamar´ıa (1996) ﬁnd long memory in the Greek Stock Exchang”
On Hurst exponent estimation under heavy-tailed distributions (2010, background): “5, the process has significantly negative summable auto-covariances at all lags and the process is said to be anti-persistent (Barkoulas et al., 2000).”
The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, background): “Nevertheless, this voluminous literature does contain papers with significant evidence of long memory (see Barkoulas et al., 2000; Limam, 2003; Cajueiro and Tabak, 2005b; Christodoulou-Volos and Siokis, 2006; Kyaw et al., 2006; Serletis and Rosenberg, 2009).”