An Analysis of Long Memory in Volatility for Asian Stock Markets

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题名:	An Analysis of Long Memory in Volatility for Asian Stock Markets
作者:	Chung, Huimin;Lin, William T.;Wu, Soushan
贡献者:	淡江大學財務金融學系
关键词:	long memory in volatility;structure shifts in variance;Asia Pacific stock markets
日期:	2000-09
上传时间:	2009-11-30 17:52:48 (UTC+8)
出版者:	World Scientific Center, Center for PBBEF Research
摘要:	One of the important questions in studies of asset return and volatility has been how long the effects of shocks persist. In this article, the modified R/S statistic of Lo (1991) and the robust semiparametric method of Lobato and Robinson (1997) are applied to investigate the long memory properties in return and volatility of Asian financial markets. For the return series, we find little evidence of long memory, while the empirical results support the hypothesis of long memory in volatility for Asia-Pacific stock markets. We also discuss the possible causes of spurious long memory effect in volatility, namely aggregation, size distortion, and shifts in variance. Our empirical evidence shows that spurious long memory effect in volatility might occur as a result of shifts in variance for some Asian stock markets.
關聯:	Review of pacific basin financial markets and policies 3(3), p.309-330
DOI:	10.1142/S0219091500000200
显示于类别:	[財務系] 期刊論文 [財務金融學系暨研究所] 期刊論文

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