Empirical analyses of emerging stock markets return

摘要：

Emerging stock market is a hot topic in financial research We use methods bassed on Rescaled Range analysis.which has gained growing acceptance in the finance literature.to test for Long memory effect in 14 Emerging markets.While many empirical works have been done in the detection of long memory effect in Chinese stock markets ,very few investigations focused on Emerging stock markets. Results show that all three volatilities are slowly and that distant obervations of the series are associated with each other. This has risk management implications in the emerging markets.Long memory exist on Emerging Stock Markets return, long memory in Egypt and Malaysia is more powerful than those in Korea.Brazil.

关键词： Emerging markets returns volatility long memory effect

作者: Wen-jie TU Li-yan HAN

作者单位: Department of Finance,School of Economics and Management,Beihang University,Beijing100083,China

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 21-24

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）