Study of memory effects in international market indices

M. C. Mariani, I. Florescu, M. P. Beccar Varela, E. Ncheuguim

Research output: Contribution to journalArticlepeer-review

20 Scopus citations

Abstract

Long term memory effects in stock market indices that represent internationally diversified stocks are analyzed in this paper and the results are compared with the S&P 500 index. The Hurst exponent and the Detrended fluctuation analysis (DFA) technique are the tools used for this analysis. The financial time-series data of these indices are tested with the Normalized Truncated Levy Flight to check whether the evolution of these indices is explained by the TLF. Some features that seem to be specific for international indices are discovered and briefly discussed. In particular, a potential investor seems to be faced with new investment opportunities in emerging markets during and especially after a crisis.

Original languageEnglish
Pages (from-to)1653-1664
Number of pages12
JournalPhysica A: Statistical Mechanics and its Applications
Volume389
Issue number8
DOIs
StatePublished - 15 Apr 2010

Keywords

  • Detrended fluctuation analysis
  • EAFE index
  • International stock market indices
  • R/S analysis

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