ABSTRACT
Most of the methodologies employed in analyzing stock time series data are based on the assumption of Efficient Market Hypothesis which does not assume long range memory or dependence in the data generating process. However empirical evidence from stock data fails to support the lack of dependence especially in developing countries. This study investigated the long range memory in some selected equities on the Ghanaian stock market using non-parametric and parametric methods. Using the fact that, markets that are described by fractional Brownian motion possesses an arbitrage opportunity, an ARFIMA model which is a discretized version of fractional Brownian motion was fitted to the selected equities to investigate the presence of memory. The study found long memory in most of the stock returns of the equities selected. The study also explored the presence of long memory in the absolute return and squared returns. The study found memory in the absolute and squared return which was in general, lager than the return series. The long range memory in the absolute return and the square return can be used by herd fund managers in forecasting of future returns.
JOSEPH, A (2021). ARBITRAGE OPPORTUNITY IN THE GHANAIAN STOCK MARKET AN ARFIMA APPROACH. Afribary. Retrieved from https://afribary.com/works/arbitrage-opportunity-in-the-ghanaian-stock-market-an-arfima-approach
JOSEPH, ARMACHIE "ARBITRAGE OPPORTUNITY IN THE GHANAIAN STOCK MARKET AN ARFIMA APPROACH" Afribary. Afribary, 01 Apr. 2021, https://afribary.com/works/arbitrage-opportunity-in-the-ghanaian-stock-market-an-arfima-approach. Accessed 22 Nov. 2024.
JOSEPH, ARMACHIE . "ARBITRAGE OPPORTUNITY IN THE GHANAIAN STOCK MARKET AN ARFIMA APPROACH". Afribary, Afribary, 01 Apr. 2021. Web. 22 Nov. 2024. < https://afribary.com/works/arbitrage-opportunity-in-the-ghanaian-stock-market-an-arfima-approach >.
JOSEPH, ARMACHIE . "ARBITRAGE OPPORTUNITY IN THE GHANAIAN STOCK MARKET AN ARFIMA APPROACH" Afribary (2021). Accessed November 22, 2024. https://afribary.com/works/arbitrage-opportunity-in-the-ghanaian-stock-market-an-arfima-approach