The recent papers by Gil-Alana (2006) and Bond and Dyson (2007) raised the possibility that the time series behavior of share prices, as well as those of returns, could be described by a fractionally integrated process. Inparticular, Bond andDyson (2007) looked at the time domain behavior of individual share price series and found that there was strong evidence that many of the main shares in the Financial Times Stock Exchange 100 Share index (FTSE100) were fractionally integrated. Such findings have important implications for the Efficient Market Hypothesis (EMH); raising the possibility of long-memory and that investors might possibly gain from modeling the time series behavior of the shares. Bond and Dyson (2007), using recent developments in non-linear modeling did, however, raise the possibility that the observed behavior could in some cases be due non-linearities in the series.
Weitere Kapitel dieses Buchs durch Wischen aufrufen
Bitte loggen Sie sich ein, um Zugang zu diesem Inhalt zu erhalten
Sie möchten Zugang zu diesem Inhalt erhalten? Dann informieren Sie sich jetzt über unsere Produkte:
- An Explanation for Persistence in Share Prices and their Associated Returns
Kenneth A. Dyson
- Palgrave Macmillan UK
Neuer Inhalt/© Stellmach, Neuer Inhalt/© Maturus, Pluta Logo/© Pluta, Avaloq/© Avaloq Evolution AG