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Type: Artigo
Title: Long-range dependence and market structure
Authors: Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
Abstract: In this paper, we have found that although the Dow Jones Average Industrial Index does not possess long-range dependence in mean returns, individual stocks that form the index do. These results were obtained using the Local Whittle estimation procedure. Most stocks seem to be anti-persistent with Hurst exponents below 0.5, which is in line with mean reversion in the long run. Furthermore, open–open returns possess a stronger degree of anti-persistence than close–close returns due to market structure effects.
Citation: CAJUEIRO, D ; TABAK, B . Long-range dependence and market structure. Chaos, Solitons and Fractals, v. 31, p. 995-1000, 2007.
Access Type: Acesso Aberto
Document date: 2007
Appears in Collections:PPG - Revistas e Artigos Científicos

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