Persistence and long run co-movements across stock market prices
Fecha
2023Citación
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.
Resumen
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 ...
Áreas Temáticas
Departamentos
Tipo de documento
journal article