Persistence in the Bel-20 Index Returns: Spurious Long Memory Effect?

• Type: Article in International Conference Proceedings Book
• Date: 2019

Authors

Gomes, LMP (Author) Other; Sílvio Gama (Author) FCUP; José Abilio de Oliveira Matos (Author) FEP; Soares, VJS (Author) Other

Conference proceedings International

Title: 33th International Business Information Management Conference (IBIMA)

Pages: 5477-5488

Indexing

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Other information

Authenticus ID: P-00R-6YQ

Abstract (EN): The purpose of this paper is to analyze the returns of the BEL-20 index in the search for evidence of long-term memory. An econophysics approach was used to test and measure the degree of dependence of the Belgian market. The Hurst exponent, estimated through Rescaled-Range Analysis (classical and modified) and Detrended Fluctuation Analysis, evidences slight long memory in the form of persistence. Moreover, Rescaled-Range Tests (classical and modified) and Fractional Differencing Test suggest a stochastic process of short-term memory that degenerates to insignificant levels over long periods. The shocks have persistent impact on returns and, therefore, constitute signals against the weak form of efficiency and imply a potentially predictable component of the index. The results of this paper should be useful to regulators and risk managers.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 12