EN
Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models
Abstract
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.
Keywords
Details
Primary Language
English
Subjects
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Journal Section
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Publication Date
June 1, 2014
Submission Date
June 1, 2014
Acceptance Date
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Published in Issue
Year 2014 Volume: 4 Number: 2
APA
Turkyılmaz, S., & Balıbey, M. (2014). Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models. International Journal of Economics and Financial Issues, 4(2), 400-410. https://izlik.org/JA54WK32KS
AMA
1.Turkyılmaz S, Balıbey M. Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models. IJEFI. 2014;4(2):400-410. https://izlik.org/JA54WK32KS
Chicago
Turkyılmaz, Serpil, and Mesut Balıbey. 2014. “Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models”. International Journal of Economics and Financial Issues 4 (2): 400-410. https://izlik.org/JA54WK32KS.
EndNote
Turkyılmaz S, Balıbey M (June 1, 2014) Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models. International Journal of Economics and Financial Issues 4 2 400–410.
IEEE
[1]S. Turkyılmaz and M. Balıbey, “Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models”, IJEFI, vol. 4, no. 2, pp. 400–410, June 2014, [Online]. Available: https://izlik.org/JA54WK32KS
ISNAD
Turkyılmaz, Serpil - Balıbey, Mesut. “Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models”. International Journal of Economics and Financial Issues 4/2 (June 1, 2014): 400-410. https://izlik.org/JA54WK32KS.
JAMA
1.Turkyılmaz S, Balıbey M. Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models. IJEFI. 2014;4:400–410.
MLA
Turkyılmaz, Serpil, and Mesut Balıbey. “Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models”. International Journal of Economics and Financial Issues, vol. 4, no. 2, June 2014, pp. 400-1, https://izlik.org/JA54WK32KS.
Vancouver
1.Serpil Turkyılmaz, Mesut Balıbey. Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models. IJEFI [Internet]. 2014 Jun. 1;4(2):400-1. Available from: https://izlik.org/JA54WK32KS