Lennart Berg and Johan Lyhagen
Abstract: The behaviour of Swedish stock returns over short and long run horizons is analysed. Using monthly data from 1919 to 1995 and, weekly and daily data for the 1980s and first part of the 1990s we hardly found any evidence of long run depend-ence. Using three different tests that are robust to short term dependence and condi- tional hetroskedasticity we found that the modified R/S (rescaled range) test and ARFIMA-GARCH tests provide no support for long run memory in Swedish stock returns. Only the fractional differencing test, GPH, gave a significant result in two cases: for nominal monthly stock returns for the full and the first half of sample at rather high frequency for the spectral analysis.
17 pp., 1996
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