Long memory properties and asymmetric effects of emerging equity market: evidence from Malaysia

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Long memory properties and asymmetric effects of emerging equity market: evidence from Malaysia

Purpose – The purpose of this paper is to examine the long memory property of equity returns and volatility of emerging equity market by focusing on the Malaysian equity market, namely the Kuala Lumpur Stock Exchange (KLSE). Design/methodology/approach – The study adopts the Fractionally Integrat...

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Bibliographic Details
Main Authors:	Abdul Manap, Turkhan Ali, Kassim, Salina
Format:	Article
Language:	English
Published:	Emerald Group Publishing Limited 2011
Subjects:	HB131 Methodology.Mathematical economics. Quantitative methods HG4501 Stocks, investment, speculation
Online Access:	http://irep.iium.edu.my/8622/ http://irep.iium.edu.my/8622/1/Long_memory_published_edition.pdf

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