A non-random walk revisited
Subtitle: short- and long-term memory in asset prices
By: Paul Eitelman and Justin Vitanza.
Contributors: Vitanza, Justin.
Series: International finance discussion papers -- no. 956; International finance discussion papers (Online) -- no. 956.
Publisher: Federal Reserve Board
Published: 2008
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "In this paper, we test for short and long memory in asset prices across 44 emerging and industrialized economies.  Using methodology from Lo and MacKinlay (1988) and Lo (1991), we find that markets with a poor Sharpe ratio are more likely to reject the random walk than better performing markets.  We also make a methodological contribution.  Contrary to the Baillie (1996) criticism, our long memory analysis suggests that the choice of a truncation lag is not as important as one might initially believe.  Tests that reject the null hypothesis tend to do so across any reasonable choice in lag"--Federal Reserve Board web site.
Notes: Title from PDF file as viewed on 6/22/2009.

Includes bibliographical references.

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