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Long memory in the Ukrainian stock market and financial crises

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Abstract

This paper examines persistence in the Ukrainian stock market during the recent financial crisis. Using two different long memory approaches (R/S analysis and fractional integration) we show that this market is inefficient and the degree of persistence is not the same at different stages of the financial crisis. Therefore trading strategies might have to be modified. We also show that data smoothing is not advisable in the context of R/S analysis.

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Notes

  1. When choosing the bandwidth one faces a trade-off between bias and variance: the asymptotic variance is decreasing whilst the bias is increasing with m.

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Authors and Affiliations

  1. Brunel University, London, UK

    Guglielmo Maria Caporale

  2. CESifo, Munich, Germany

    Guglielmo Maria Caporale

  3. DIW, Berlin, Germany

    Guglielmo Maria Caporale

  4. University of Navarra, Pamplona, Spain

    Luis Gil-Alana

  5. Ukrainian Academy of Banking, Str. Peter and Paul57, Sumy, Ukraine

    Alex Plastun & Inna Makarenko

Authors
  1. Guglielmo Maria Caporale
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  2. Luis Gil-Alana
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  3. Alex Plastun
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  4. Inna Makarenko
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Corresponding author

Correspondence to Guglielmo Maria Caporale.

Additional information

Alex Plastun and Inna Makarenko are grateful to two anonymous referees for their useful comments and suggestions. The second-named author also acknowledges financial support from the Ministry of Education of Spain (ECO2011-2014 ECON Y FINANZAS, Spain).

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Caporale, G.M., Gil-Alana, L., Plastun, A. et al. Long memory in the Ukrainian stock market and financial crises. J Econ Finan 40, 235–257 (2016). https://doi.org/10.1007/s12197-014-9299-x

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  • DOI: https://doi.org/10.1007/s12197-014-9299-x

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