Working Paper Series no. 94: An Assessment of Persistence in Stock Markets

Abstract

We identify and examine the presence of the long memory in equity returns and more generally in specific transformations of these returns, on both the US and European stock markets. Taking into account the persistence phenomenon, we analyze the effect of the splitting of the sample period on the one hand, and the impact of the aggregation on the other hand, on the long memory process. Our main results show the strongest evidence of long memory presence in the absolute value of the returns.

Sanvi Avouyi-Dovi, Dominique Guégan and Sophie Ladoucette
December 2002

Classification JEL : C14 - C22 - G15.

Keywords : long memory, persistence phenomenon, stock markets.