Long memory In the Ukrainian stock market and financial crises

Caporale, Guglielmo Maria and Gil-Alana, Luis A. and Plastun, Alex and Makarenko, Inna (2014) Long memory In the Ukrainian stock market and financial crises. Centre for International Capital Markets discussion papers, 2014 (03). pp. 1-30. ISSN 1749-3412

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Abstract

This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different long memory approaches (R/S analysis and fractional integration) we show that this market is inefficient and the degree of persistence is not the same in different stages of the financial crisis. Therefore trading strategies might have to be modified. We also show that data smoothing is not advisable in the context of R/S analysis.

Item Type: Article
Uncontrolled Keywords: Centre for International Capital Markets discussion papers; CICM discussion papers; persistence; long memory; rescaled range analysis; R/S analysis; fractional integration; Ukraine; Ukrainian stock market
Subjects: 300 Social sciences > 330 Economics
Department: Guildhall School of Business and Law
Depositing User: Mary Burslem
Date Deposited: 16 Apr 2015 11:25
Last Modified: 17 Apr 2015 11:44
URI: http://repository.londonmet.ac.uk/id/eprint/369

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