Title: North Africa stock markets: analysis of long memory and persistence of shocks

Authors: Ibrahim A. Onour

Addresses: Arab Planning Institute, P.O. Box 5834, Safat, Kuwait

Abstract: This paper investigates long-memory behaviour of stock returns of Egypt, Tunisa and Morrocco stock markets using daily stock price data. Results in the paper support evidence of stationary short-memory process for the returns of the three markets. Short memory of stock returns implies that most recent lagged returns have more predictive power for future returns than long-term factors. It is also indicated in the paper that stock returns volatility behave as a short-memory process. Short-memory behaviour of volatility indicates that the effect of a shock to volatility tends to dissipate within a short period of time.

Keywords: long memory behaviour; volatility; persistence; ARFIMA; FIGARCH; fractionally integrated generalised autoregressive conditional heteroscedasticity; Egypt; Tunisa; Morrocco; stock markets; stock price data; short memory; stock returns.

DOI: 10.1504/IJMEF.2010.031231

International Journal of Monetary Economics and Finance, 2010 Vol.3 No.2, pp.101 - 111

Published online: 26 Jan 2010 *

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