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TITLE:
Long Memory in the Greek Stock Market

AUTHOR(S):
John T. Barkoulas, Boston College
Christopher F. Baum , Boston College
Nickolaos Travlos, Boston College

DOCUMENT TYPE: Article

ABSTRACT:
We test for stochastic long memory in the Greek stock market, an emerging capital market. The fractional differencing parameter is estimated using the spectral regression method. Contrary to findings for major capital markets, significant and robust evidence of positive long-term persistence is found in the Greek stock market. As compared to benchmark linear models, the estimated fractional models provide improved out-of-sample forecasting accuracy for the Greek stock returns series over longer forecasting horizons.

Publication Status: published, Applied Financial Economics, 2000, 10:2, 177-184.