Testing Long Memory in Stock Market Return and Volatility during Global Financial Crisis: International Evidence
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The dissertation investigates the existence of long memory in stock market returns and volatility during the global financial crisis from 2007 to 2009, analyzing both emerging and developed markets. It utilizes various statistical methods, including ARFIMA and GARCH models, to confirm the persistence of long memory in returns and volatility across different markets. The findings suggest no significant differences between emerging and developed markets regarding long memory, indicating a potential maturity in emerging economies.
Testing Long Memory in Stock Market Return and Volatility during Global Financial Crisis: International Evidence
- 1. Testing Long Memory in Stock Market Return and Volatility during Global Financial Crisis: International EvidenceAuthor; Amir KheirollahSupervisor: PhD. Sabur MollahMaster DissertationStockholm Business School Stockholm University
- 2. Painting Title: The Disintegration of the Persistence of Memory, 1952/54Salvador DaliFamous Spanish Painter – SurrealistAbstract
- 3. Does Long Memory exist in Crisis Time?Does Equity Markets Behave Differently?Long Memory, EMH & Emerging vs. Developed Markets in Crisis PeriodAre our Measures and Models Consistent?Does all Models Fulfil their Assumptions and Objectives?
- 4. Self similaritySlow decay of autocorrelationsPersistence and InformationA Martingale Process, Stationarity and EMH.What is long memory (persistence)?
- 5. Data & MethodolyCrisis Period 01/01/2007 – 31/12/2009Equity Markets Indices from FTSEEmerging vs. Developed Categories including 12 countries eachData under investigation: Continuously Compounded Rate of Daily Returns
- 6. Data & MethodolyStatistical AnalysisACF/PACF/PeriodogramsNon-normality; Skewness, Kurtosis, Jarque Bera TestStationarity; ADF and PP TestsARCH Effect; Lagrange Multiplier TestLong Memory in Return; Hurst Exponent & ARFIMA ModelLong Memory in Volatility; GARCH Family Models (GARCH, EGARCH, FIGARCH (BBM & Chung), HYGARCH
- 7. Long Memory in ReturnLevy Index & Hurst Exponent Revered Relationship confirmed persistence in all financial timeseries under investigation
- 8. Long Memory in ReturnARFIMA Model for ReturnMaximum Likelihood Estimation Geweke Porter-Hudak Estimation Smoothed Periodogram Estmiation All three methods of estimation confirmed existence of long-memoryLimitations and Further Research
- 9. Long Memory in VolatilityGARCH(1,1), confirmed long memory in all markets in similar way.EGARCH(1,1) confirmed long memory and assymmetry of data.FIGARCH.BBM(1,1) produced d estimates in the expected range. (Chung produced smaller d parameter, still in expected range)HYGARCH(1,1) produced d parameters equal to FIGARCH.BBM, with no significant results for log alpha.
- 10. Long Memory in VolatilityGARCH & EGARCH models confirm the long memory, and prior to this, fulfil the covariance stationarity condition (CS).FIGARCH models produing results for fractal parameter in long memory range, fail to account for CS.Emerging and developed market seems not to be differrent from each other, in the matter of quanititative results.
- 11. Long Memory in VolatilityLimitations and Further ResearchThe number of orders p & q.Gaussian distribution vs. Other distributions recommended for financial data series.The behavior of fractional models Seperate study on behaviour of particularely emerging markets with respect to long memory.
- 12. EMH & Emerging vs. Developed MarketsNo difference observed between resutls from emerging and developed economies. This might be due to reaching a level of maturedness by emerging economies relative to developed ones.Does Emerging Markets deriving the world economy during global financial crisis?
- 13. Thank you!And Your Questions Please! Painting Title: The Persistence of Memory, 1931Salvador DaliFamous Spanish Painter – Surrealist
Editor's Notes
- #3: Comment on the picture relevance and the title and subject of the studyPersistence and disintegration … the clear picture and blured, perhaps misplaced and reshaped memoryRelevance of the time or another frequency?
- #4: Why long memory? and if it does exist in second place …. We will want to know …. Look at the pictures on the top … two examples of perfect selfsimilarity by mathematical or statistical relations … and more complex and fairly approximate selfsimilariy in the nature. These pictures of visual instances of long memory in the nature … Do they exist in the financial markets too? Looking at the bottom … you will find the australian index spectrum (periodogram). Particularly the equity markets. If yes, do they differ from markets to markets …. What is the relationship between long memory and EMH.