Search
  Advanced Search
 
Journal search
Journal cover: Studies in Economics and Finance

Studies in Economics and Finance

ISSN: 1086-7376

Online from: 1977

Subject Area: Accounting and Finance

Content: Latest Issue | icon: RSS Latest Issue RSS | Previous Issues

Options: To add Favourites and Table of Contents Alerts please take a Emerald profile

Previous article.Icon: Print.Table of Contents.Next article.Icon: .

Modeling long-term memory effect in stock prices: A comparative analysis with GPH test and Daubechies wavelets


Document Information:
Title:Modeling long-term memory effect in stock prices: A comparative analysis with GPH test and Daubechies wavelets
Author(s):Alper Ozun, (IsBank of Turkey, Istanbul, Turkey), Atilla Cifter, (Department of Econometrics, Sekerbank and Marmara University, Istanbul, Turkey)
Citation:Alper Ozun, Atilla Cifter, (2008) "Modeling long-term memory effect in stock prices: A comparative analysis with GPH test and Daubechies wavelets", Studies in Economics and Finance, Vol. 25 Iss: 1, pp.38 - 48
Keywords:Economic cycles, Emerging markets, Stock prices, Turkey
Article type:Research paper
DOI:10.1108/10867370810857559 (Permanent URL)
Publisher:Emerald Group Publishing Limited
Abstract:

Purpose – This paper, using Turkish stock index data, set outs to present long-term memory effect using chaotic and conventional unit root tests and investigate if chaotic technique as wavelets captures long-memory better than conventional techniques.

Design/methodology/approach – Haar and Daubechies as wavelet-based OLS estimator and GPH and other classical models are applied in order to investigate the performance of long memory in the time series.

Findings – The results indicate that Daubechies wavelet analysis provide the accurate determination for long memory where conventional techniques does not.

Originality/value – The research results have both methodological and practical originality. On the theoretical side, the wavelet-based OLS estimator is superior in modeling the behaviours of the stock returns in emerging markets where non-linearities and high volatility exist due to their chaotic natures. For practical aims, on the other hand, the results show that the Istanbul Stock Exchange is not in the weak-form efficient because the prices have memories that are not reflected in the prices, yet.



Fulltext Options:

Login

Login

Existing customers: login
to access this document

Login


- Forgot password?
- Athens/Institutional login

Purchase

Purchase

Downloadable; Printable; Owned
HTML, PDF (253kb)Purchase

To purchase this item please login or register.

Login


- Forgot password?

Recommend to your librarian

Complete and print this form to request this document from your librarian


Marked list


Bookmark & share

Reprints & permissions