Long memory in the Portuguese stock market
Abstract
Purpose
This paper's aim is to test for the presence of fractional integration, or long memory, in the daily returns of the Portuguese stock market using autoregressive fractionally integrated moving average (ARFIMA), generalised autoregressive conditional heteroskedasticity (GARCH) and ARFIMA‐FIGARCH models.
Design/methodology/approach
The data cover two periods: 4 January 1993‐13 January 2006 (full sample), and 1 February 2002‐13 January 2006 (that is, data are considered after the merger of the Portuguese Stock Exchange with Euronext).
Findings
The results from the full sample show strong evidence of long memory in stock returns. When data after the merger are considered, weaker evidence of long memory is found. It is concluded that the Portuguese stock market is more efficient after the merger with Euronext.
Originality/value
The findings of this paper are helpful to financial managers and investors dealing with Portuguese stock indices.
Keywords
Citation
Floros, C., Jaffry, S. and Valle Lima, G. (2007), "Long memory in the Portuguese stock market", Studies in Economics and Finance, Vol. 24 No. 3, pp. 220-232. https://doi.org/10.1108/10867370710817400
Publisher
:Emerald Group Publishing Limited
Copyright © 2007, Emerald Group Publishing Limited