Long memory behavior in the returns of Pakistan stock market: Arfima-Figarch models

TÜRKYILMAZ S., BALIBEY M.

International Journal of Economics and Financial Issues, cilt.4, sa.2, ss.400-410, 2014 (Scopus) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 4 Sayı: 2
  • Basım Tarihi: 2014
  • Dergi Adı: International Journal of Economics and Financial Issues
  • Derginin Tarandığı İndeksler: Scopus
  • Sayfa Sayıları: ss.400-410
  • Anahtar Kelimeler: ARFIMA-FIGARCH model, Long memory, Volatility, Weak-form efficient market hypothesis
  • Bilecik Şeyh Edebali Üniversitesi Adresli: Evet

Özet

© 2014 Econjournals. All rights reserved.This study examines the weak-form market efficiency of Pakistan Stock Market namely Karachi Stock Exchange for the period 2010-2013. The efficiency of stock market has tested by using ARFIMA-FIGARCH models estimated under different distribution assumptions as Normal, Student-t, Skewed Student-t and GED distribution. According to findings of study, ARFIMA model do not support long memory behaviour for the stock market returns. However, FIGARCH model indicate that volatility of market returns has long memory. Moreover, in order to test the feature of long memory in the return and volatility of the stock market simultaneously, ARFIMA-FIGARCH models are estimated according to different distributions simultaneously. Predictable structure of volatility of Pakistan Stock Market display that this market is the weak-form market inefficiency. Consequently, it is possible to say that technical analysis related to this stock market may be valid. This implies that it is possible to predict future stock prices and extra ordinary gains could be obtained trading in this market.