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

• Main Authors: Almandres, Tricia Q., Estor, Sharmaine Rose G., Ng, Michaela Wencee S., Reyes, Audrey T.
• 格式: text
• 語言: English
• 出版: Animo Repository 2023
• 主題: Stock exchanges—Southeast Asia; Finance; Finance and Financial Management
• 在線閱讀: 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
• 機構: De La Salle University

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...