The Federal Reserve Board eagle logo links to home page

International Finance Discussion Papers
The International Finance Discussion Papers logo links to the International Finance Discussion Papers home page Long Memory in Emerging Market Stock Returns
Jonathan H. Wright
1999-650  (October 1999)

Abstract:  Many authors have investigated the possibility of long memory in asset returns. Generally, very little evidence has been found for long memory in either stock returns or exchange rate returns. This paper applies the log-periodogram regression to a wide range of emerging market stock returns and finds some evidence for positive long memory in 7 of the 17 series considered.

Full paper (2323 KB PDF)

Long Memory, Stock Returns, Frequency Domain, Emerging Markets

PDF files: Adobe Acrobat Reader   ZIP files: PKWARE

Home | IFDPs | List of 1999 IFDPs
To comment on this site, please fill out our feedback form.
Last update: July 19, 2001