A long-term memory study of BRICS returns in the stock market

• Main Author: Xu, Qianxiang
• Format: text
• Language: English
• Published: Animo Repository 2022
• Subjects: Stock exchanges—China; Stock exchanges—BRIC countries; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etdm_finman/6; https://animorepository.dlsu.edu.ph/cgi/viewcontent.cgi?article=1005&context=etdm_finman
• Institution: De La Salle University

BRICs refers to the five new economic powers including China. Because of this, as an emerging securities market, BRICs is in its infancy, compared with the mature stock market in developed countries, the market efficiency is not high. Therefore, it is of special significance to test its long memory. Through the research, we can better reflect the volatility of its valley stock market. Taking the Shanghai Composite Index and Shenzhen composite index as the research object, this paper systematically studies the long-term memory characteristics of the daily return and the daily return fluctuation series of China's stock market, establishes the corresponding arfima-figarch model, and analyzes the existing problems of its stock market. Therefore, it is necessary to continuously improve various laws and regulations, and strengthen the management of the stock market. Vigorously develop institutional investors, correctly guide and encourage people to invest, and gradually abandon the concept of the policy-led stock market. If the above can be done well, the BRICS stock market can go further on the road to efficiency. Key words: long memory, BRICS countries, modified R/S