Persistence and long run co-movements across stock market prices
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Gil-Alana, Luis A.; Infante, Juan; Martín-Valmayor, M.A.: Persistence and long run co-movements across stock market prices, The Quarterly Review of Economics and Finance, Volume 89, 2023, Pages 347-357. https://doi.org/10.1016/j.qref.2022.10.001.
This paper investigates long memory, persistence and co-movements in the most representative stock markets from all over the world. We look at seven stock market indices from Europe, Asia and North America, first individually, by looking at the order of integration of the series from a fractional point of view and comparing different sampling periods (daily, weekly and monthly) for the time period 2009-2020. Then, co-movements across the series are examined by looking at the differences betw ...