Are stock returns persistent? Study on Asian stock exchanges Online publication date: Tue, 07-May-2019
by Monika Chopra; Rupish Saldi
Afro-Asian J. of Finance and Accounting (AAJFA), Vol. 9, No. 2, 2019
Abstract: The objective of this paper is to examine the existence of persistence effect in the daily (based on five years' daily closing price) and intraday (based on 140 trading days five-minute stock price) returns of five Asian stock exchanges, viz. Nifty, Hang Seng, Nikkei, Shanghai Composite and Jakarta Composite. We find that with five-minute 140 trading days' data, i.e., in the short term, the Indian and Indonesian markets show persistence. In the long term, after accounting for structural breaks, returns do not show persistence in Indian, Chinese and Indonesian exchanges. We conclude that for these exchanges, in the long term, returns may move randomly, thus removing any price prediction possibility. In addition, Japanese stock markets are anti-persistent in both the short term and the long term while Hong Kong showed anti-persistence in long term. Hence, these markets are expected to reward contrarian-trading strategies like short-interest ratio, put-call ratio, open interest, and mutual funds cash position.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the Afro-Asian J. of Finance and Accounting (AAJFA):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com
Our Blog 
Follow us on Twitter 
Visit us on Facebook