dc.contributor.author | Gil Alana, Luis A. | |
dc.contributor.author | Infante, Juan | |
dc.contributor.author | Martín Valmayor, Miguel Ángel | |
dc.date.accessioned | 2023-06-15T14:27:09Z | |
dc.date.available | 2023-06-15T14:27:09Z | |
dc.date.issued | 2023 | |
dc.identifier.citation | 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. | es |
dc.identifier.uri | https://hdl.handle.net/20.500.12766/437 | |
dc.description.abstract | 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 between them. The results
indicate that all the individual series are highly persistent, with orders of integration close to 1 in most
cases; evidence of a small degree of mean reversion is found in the two American indices (S&P500 and Dow
Jones) and, generally, lower orders of integration are found at lower sampling frequencies. Focusing on the
co-movements across the series, we observe a reduction in the degree of persistence in the one-by-one
differential comparison of the series. Even though the differencing parameter is small compared with what
we should have obtained under standard cointegration, this factor still shows long-memory as it ranges in
the interval (0.5, 1) in the majority of cases; and appears to be greater when comparing markets from the
same geographic region, showing evidence that the convergence process between the stocks is slower
between markets of the same continents | es |
dc.language.iso | eng | es |
dc.publisher | Elsevier | es |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internacional | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
dc.title | Persistence and long run co-movements across stock market prices | es |
dc.type | journal article | es |
dc.description.department | Empresa | es |
dc.identifier.doi | 10.1016/j.qref.2022.10.001 | |
dc.journal.title | The Quarterly Review of Economics and Finance | es |
dc.page.initial | 347 | es |
dc.page.final | 357 | es |
dc.rights.accessRights | open access | es |
dc.subject.area | Economía industrial | es |
dc.subject.keyword | Stock market prices | es |
dc.subject.keyword | Fractional integration | es |
dc.subject.keyword | Co-movements | es |
dc.subject.keyword | Mean reversion | es |
dc.subject.keyword | Long memory | es |
dc.volume.number | 89 | es |