The long memory effect in ASEAN-6 stock markets from 2006 to 2022: A rescaled range analysis

The long memory effect in ASEAN-6 stock markets from 2006 to 2022: A rescaled range analysis

This paper aimed to determine whether long memory, persistence, and nonperiodic cycles are present in the ASEAN-6 stock markets from 2006 to 2022. The logarithmic daily returns of each country are divided into three periods: (1) Pre-GFC to GFC, (2) Post-GFC to Pre-COVID, and (3) COVID and U.S. infla...

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Bibliographic Details
Main Authors: Almandres, Tricia Q., Estor, Sharmaine Rose G., Ng, Michaela Wencee S., Reyes, Audrey T.
Format: text
Language:English
Published: Animo Repository 2023
Subjects:
Stock exchanges—Southeast Asia
Finance
Finance and Financial Management
Online Access:https://animorepository.dlsu.edu.ph/etdb_finman/78
https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1068/viewcontent/The_Long_Memory_Effect_in_ASEAN_6_Stock_Markets_From_2006_to_2022.pdf
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Institution: De La Salle University
Language: English

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https://animorepository.dlsu.edu.ph/etdb_finman/78
https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1068/viewcontent/The_Long_Memory_Effect_in_ASEAN_6_Stock_Markets_From_2006_to_2022.pdf

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