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Maria Caporale, Guglielmo; Gil-Alana, Luis; Plastun, Alex; Makarenko, Inna (2013)
Publisher: Centre for International Capital Markets, London Metropolitan University
Types: Article
Subjects: G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates, dewey330, persistence, long memory, R/S analysis, fractional integration, C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
jel: jel:C22, jel:G12
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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