Abstract
In this paper, by considering a model-based approach for conditional moment estimation, a nonparametric test was performed to study the long-memory property of higher moments. We considered the daily returns of the stocks included in the S&P500 index in the last ten years (for the period running from the 1st of January 2011 to the 1st of January 2021). We found that mean and skewness were characterized by short memory, while variance and shape had long memory. These results have deep implications in terms of asset allocation, option pricing and market efficiency evaluation.
Highlights
IntroductionA Nonparametric Approach for Testing Long Memory in Stock
We propose the use of the nonparametric test by [40] to study the longmemory property of stock returns’ conditional moments
We analyzed the daily returns of the S&P500 constitutes during the last 10 years
Summary
A Nonparametric Approach for Testing Long Memory in Stock. Publisher’s Note: MDPI stays neutral with regard to jurisdictional claims in published maps and institutional affiliations
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