A Long Memory of Financial Information in Korean Stock and Futures Markets

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.