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A Long Memory of Financial Information in Korean Stock and Futures MarketsA Long Memory of Financial Information in Korean Stock and Futures Markets
- Other Titles
- A Long Memory of Financial Information in Korean Stock and Futures Markets
- Issue Date
- Dec-2022
- Publisher
- 한국인터넷전자상거래학회
- Keywords
- Financial information; Long memory; Return; Volatility; KOSPI200
- Citation
- 인터넷전자상거래연구, v.22, no.6, pp 313 - 320
- Pages
- 8
- Indexed
- KCI
- Journal Title
- 인터넷전자상거래연구
- Volume
- 22
- Number
- 6
- Start Page
- 313
- End Page
- 320
- ISSN
- 1598-1983
- Abstract
- This paper aims to examine the long memory behavior of financial information (i.e., returns and volatilities) of the spot and futures contracts of the KOSPI 200 index. To this end, we use the novel technique of the wavelet OLS estimation devised by Jensen (1999). For the financial information of return series, we show no significant long memory pattern. Meanwhile, for the information of the volatility series, we find a clear pattern of a long memory regardless of applied wavelet filters.
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Collections - College of Business Administration > 경영학부 > Journal Articles
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