An Explanation for Persistence in Share Prices and their Associated Returns

  • Derek Bond
  • Kenneth A. Dyson
Chapter

Abstract

The recent papers by Gil-Alana (2006) and Bond and Dyson (2007) raised the possibility that the time series behavior of share prices, as well as those of returns, could be described by a fractionally integrated process. Inparticular, Bond andDyson (2007) looked at the time domain behavior of individual share price series and found that there was strong evidence that many of the main shares in the Financial Times Stock Exchange 100 Share index (FTSE100) were fractionally integrated. Such findings have important implications for the Efficient Market Hypothesis (EMH); raising the possibility of long-memory and that investors might possibly gain from modeling the time series behavior of the shares. Bond and Dyson (2007), using recent developments in non-linear modeling did, however, raise the possibility that the observed behavior could in some cases be due non-linearities in the series.

Keywords

Share Price Hurst Exponent Level Shift Return Series Arbitrage Opportunity 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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Copyright information

© Derek Bond and Kenneth A. Dyson 2011

Authors and Affiliations

  • Derek Bond
  • Kenneth A. Dyson

There are no affiliations available

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