The stochastic behavior of stock indices: a test of long memory in the Kuala Lumpur Stock Exchange

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The stochastic behavior of stock indices: a test of long memory in the Kuala Lumpur Stock Exchange

Characterization of the stochastic process of stock market indices is vital in understanding the behavior of stock prices. Conventional share valuation models are subject to the nature of inter-temporal dependence between current and past movements. This paper studies the stochastic process of four...

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Bibliographic Details
Main Author:	Noor Azlan Ghazali
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 1998
Online Access:	http://journalarticle.ukm.my/7978/ http://journalarticle.ukm.my/7978/1/820-1566-1-SM.pdf

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