A long-term memory study of BRICS returns in the stock market

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ID: 286253
2022
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Abstract
BRICs refers to the five new economic powers including China. Because of this, as an emerging securities market, BRICs is in its infancy, compared with the mature stock market in developed countries, the market efficiency is not high. Therefore, it is of special significance to test its long memory. Through the research, we can better reflect the volatility of its valley stock market. Taking the Shanghai Composite Index and Shenzhen composite index as the research object, this paper systematically studies the long-term memory characteristics of the daily return and the daily return fluctuation series of China's stock market, establishes the corresponding arfima-figarch model, and analyzes the existing problems of its stock market. Therefore, it is necessary to continuously improve various laws and regulations, and strengthen the management of the stock market. Vigorously develop institutional investors, correctly guide and encourage people to invest, and gradually abandon the concept of the policy-led stock market. If the above can be done well, the BRICS stock market can go further on the road to efficiency. Key words: long memory, BRICS countries, modified R/S
Reference Key
persistent_1760658020_68f18264203ca Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Xu, Qianxiang
Journal Malay Journal
Year 2022
DOI
DOI not found
URL
https://animorepository.dlsu.edu.ph/etdm_finman/6
Keywords Keywords not found

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