Is Long Memory a Property of Thin Stock Markets? International Evidence Using Arab Countries
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Imed Limam
The paper analyzes the long memory property of stock index returns in 14 markets with diverse levels of development. While the sample includes the developed stock markets of Japan, UK and USA, it also includes, in addition to the emerging markets of Brazil, India and Mexico, those of eight Arab countries as benchmarks of thin markets with the aim of investigating the link between fractional integration dynamics in stock returns and the level of stock market development. Using parametric and semi-parametric estimation procedures, the results show that the property of long-range dependence in stock index returns tend to be associated with relatively thin stock markets. Evidence from the Arab countries seems to suggest that long-memory might also be linked to the peculiar characteristics and the environment within which each stock market operates.
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Artikel in diesem Heft
- Article
- Labor-use Efficiency in Tunisian Manufacturing Industiries
- H-O for H2O: Can the Heckscher-Ohlin Framework Explain the Role of Free Trade in Distributing Scarce Water Resources Around the Middle East?
- Foreign Direct Investment, Financial Development, and Economic Growth: Evidence from the Arab Countries
- Is Long Memory a Property of Thin Stock Markets? International Evidence Using Arab Countries
- Equity Valuation Using Multiples in the Emerging Market of the United Arab Emirates
