North Africa stock markets: analysis of long memory and persistence of shocks

Abstract

This paper investigates long-memory behaviour of stock returns of Egypt, Tunisa and Morrocco stock markets using daily stock price data. Results in the paper support evidence of stationary short-memory process for the returns of the three markets. Short memory of stock returns implies that most recent lagged returns have more predictive power for future returns than long-term factors. It is also indicated in the paper that stock returns volatility behave as a short-memory process. Short-memory behaviour of volatility indicates that the effect of a shock to volatility tends to dissipate within a short period of time.