North Africa Stock Markets: Analysis of Unit Root and Long Memory Process .

 

 

 

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North Africa Stock Markets: Analysis of Unit Root and Long Memory Process

 

 

العنوان: North Africa Stock Markets: Analysis of Unit Root and Long Memory Process

WPS0906 :ISSN

الناشر : Arab Planning Institute - Kuwait

المؤلف (المؤلفين): Ibrahim Onour 

التاريخ: 2009

المحتويات :

This paper investigates unit root and long memory behavior of stock returns from Egypt, Tunisa, and Morrocco stock markets. Results in the paper support evidence of stationary short memory process for returns of these markets. Stationary and short memory of stock returns imply shocks to these markets cannot persist for long periods, and most recent lagged returns have more predictive power for future returns than long-term factors.