Published in

Taylor and Francis Group, Applied Financial Economics, 2(10), p. 177-184, 2000

DOI: 10.1080/096031000331815

SSRN Electronic Journal

DOI: 10.2139/ssrn.33672

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Long Memory in the Greek Stock Market.

Journal article published in 1997 by John T. Barkoulas, Christopher F. Baum ORCID, Nickolaos G. Travlos
This paper is available in a repository.
This paper is available in a repository.

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Abstract

We test for stochastic long memory in the Greek stock market, an emerging capital market. The fractional differencing parameter is estimated using the spectral regression method. Contrary to findings for major capital markets, significant and robust evidence of positive long-term persistence is found in the Greek stock market. As compared to benchmark linear models, the estimated fractional models provide improved out-of-sample forecasting accuracy for the Greek stock returns series over longer forecasting horizons.