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Caporale, Guglielmo Maria, Gil-Alana, Luis A., 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
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.
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