Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7379
Type: Artigo
Title: Testing for predictability in equity returns for European transition markets
Authors: Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
Abstract: This paper presents empirical evidence of short and long-run predictability in stock returns for European transition economies. We employ variance ratios with a bootstrap methodology to test for short-run predictability, which is present in most countries. We also estimate Hurst exponents to test for long-range dependence, and find evidence of such. Furthermore, we find evidence of strong time-varying long-range dependence in these economies stock returns, which is in linewith evidence of multifractality of equity returns.
Keywords: European transition economies
Hurst exponents
Long memory
Predictability
Variance ratio
Multifractality
Citation: TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. Testing for predictability in equity returns for European Transition Markets. Economic Systems, v. 30, n. 1, p. 56-78, 2006.
Access Type: Acesso Aberto
URI: http://twingo.ucb.br:8080/jspui/handle/10869/354
https://repositorio.ucb.br:9443/jspui/handle/123456789/7379
Document date: 2006
Appears in Collections:PPG - Revistas e Artigos Científicos

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