Time-varying persistence in the German stock market

• Main Authors: Kunze, Karl-Kuno, Strohe, Hans Gerhard
• Format: Others
• Language: English
• Published: Universität Potsdam 2010
• Subjects: Persistenz; Aktienmarkt; persistence; stock market; General statistics
• Online Access: http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-42046; http://opus.kobv.de/ubp/volltexte/2010/4204/

This paper studies the persistence of daily returns of 21 German stocks from 1960 to 2008. We apply a widely used test based upon the modified R/S-Method by Lo [1991]. As an extension to Lux [1996] and Carbone et al. [2004] and in analogy to moving average or moving volatility, the statistics is calculated for moving windows of length 4, 8, and 16 years for every time series. Periods of persistence or long memory in returns can be found in some but not all time series. Robustness of results is verified by investigating stationarity and short memory effects.