Existence of Persistent Temporal Dependence in ...
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Existence of Persistent Temporal Dependence in ...
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Existence of Persistent Temporal Dependence in Asian Emerging Markets Exchange-traded Funds Abstract This in the
research
returns
and
investigates volatility
the
of
existence
seven
of
Asian
persistent
emerging
temporal
market
dependence
(EM) exchange-
traded funds (ETFs) from 2008 to 2013 using fractionally-integrated models. This paper finds that SPDR S&P China ETF (ticker: GXC) and Wisdom Tree Indian Rupee Fund (ICN) ETFs have intermediate memory, which characterizes the strong tendency of these ETFs to mean revert. This study also finds long memory properties in the volatility structures
of
most
Asian
EM
ETF,
which
is a possible sign of market inefficiency , and can be exploited by financial traders in the long-term through likelihood
values
a
“hold” point
to
strategy
to
earn
excess
returns.
Moreover,
the ARFIMA-HYGARCH
models
as
the
the log-
best fitting
models compared to the ARFIMA and ARFIMA-FIGARCH models.
Keywords: Asian emerging markets, exchange-traded funds, long-memory model
Reference: Lee, C.W., J.F. Diaz and H.N. Truong (2014) Existence of Persistent Temporal Dependence in Asian Emerging Markets Exchange-traded Funds. International Journal of Research in Finance and Marketing, 4(7), 19-35. (Econlit)
