论文标题
选择股票返回的长期记忆使用替代小波日志尺度对齐方式
Long memory in select stock returns using an alternative wavelet log-scale alignment approach
论文作者
论文摘要
这项研究调查了一些精选股市的效率。使用改进的远程依赖的小波估计器，我们在一些新兴的亚洲经济体的股票回报中显示了长期记忆的证据。但是，欧洲和美国的发达市场没有表现出悠久的记忆，从而确认了发达股票市场的效率。另一方面，发现新兴的亚洲市场的效率较低，因为这些市场在这些市场中的记忆力更大。
This study investigates the efficiency of some select stock markets. Using an improved wavelet estimator of long range dependence, we show evidence of long memory in the stock returns of some emerging Asian economies. However, developed markets of Europe and the United States did not exhibit long memory thereby confirming the efficiency of developed stock markets. On the other hand, emerging Asian markets are found to be less efficient as long memory is more pronounced in these markets.
