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Short and long run dependence in Swedish stock returns
Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Economics.
Uppsala University, Humanistisk-samhällsvetenskapliga vetenskapsområdet, Faculty of Social Sciences, Department of Economics.
1996 (English)Report (Other academic)
Abstract [en]

The behaviour of Swedish stock returns over short and long run horizons is analysed. Using monthly data from 1919 to 1995 and, weekly and daily data for the 1980s and first part of the 1990s we hardly found any evidence of long run depend-ence. Using three different tests that are robust to short term dependence and condi-tional hetroskedasticity we found that the modified R/S (rescaled range) test and ARFIMA-GARCH tests provide no support for long run memory in Swedish stock returns. Only the fractional differencing test, GPH, gave a significant result in two cases: for nominal monthly stock returns for the full and the first half of sample at rather high frequency for the spectral analysis.

Place, publisher, year, edition, pages
Uppsala: Nationalekonomiska institutionen , 1996. , p. 17
Series
Working paper, ISSN 0284-2904
Keywords [en]
Economics
Keywords [sv]
Nationalekonomi
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-2370ISBN: 99-2336489-5 OAI: oai:DiVA.org:uu-2370DiVA, id: diva2:128631
Available from: 1996-01-01 Created: 1996-01-01

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CiteExportLink to record
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Citation style
  • apa
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  • Other style
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
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Output format
  • html
  • text
  • asciidoc
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