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dc.contributor.authorKarathanassis, George A.-
dc.contributor.authorPatsos, C.-
dc.date.accessioned2018-06-08T07:57:05Z-
dc.date.available2018-06-08T07:57:05Z-
dc.date.issued2000-
dc.identifier.citationKarathanassis, G., & Patsos, C. (2000). Predictability, long memory and non linear dynamics of stock returns. European Research Studies Journal, 3(3-4), 17-33.en_GB
dc.identifier.issn11082976-
dc.identifier.urihttps://www.um.edu.mt/library/oar//handle/123456789/30822-
dc.description.abstractThe presence of long-range dependence and nonlinear dynamics in stock returns is examined using data from the Athens Stock Exchange. The authors apply (among other well-known time series techniques) the Rescaled Range (R/S) Statistic AND THE modified R/S statistic, as being more appropriate for tracking short and long memory in the stock market and as more robust to other alternative methods. The results support evidence of short memory in all single stock returns in the sample used but there is an agreement between the two types of R/S statistics regarding existence of strong long memory in the squared returns. The findings are in agreement with recent empirical evidence investigating long-range and short-range statistical dependence in other stock exchanges apart from the Greek stock market. Furthermore, nonlinear dynamics are supported in the results from evidence of strong conditional autoregressive evolution in the stock return path. The authors consider these results as indicative of a rapidly developing and strengthening market and not a symptom of inefficiencies in the Greek capital market.en_GB
dc.language.isoenen_GB
dc.publisherUniversity of Piraeus. International Strategic Management Associationen_GB
dc.rightsinfo:eu-repo/semantics/openAccessen_GB
dc.subjectStock exchanges -- Greeceen_GB
dc.subjectCapital market -- Greeceen_GB
dc.subjectStocks -- Prices -- Mathematical modelsen_GB
dc.titlePredictability, long memory and non linear dynamics of stock returnsen_GB
dc.typearticleen_GB
dc.rights.holderThe copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder.en_GB
dc.description.reviewedpeer-revieweden_GB
dc.publication.titleEuropean Research Studies Journalen_GB
Appears in Collections:European Research Studies Journal, Volume 3, Issue 3-4

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