Long memory in stock returns: evidence from the major emerging Central European stock markets

This article analyses the long-memory properties of the daily stock market returns of four major emerging Central European countries, the Czech Republic, Hungary, Poland and the Slovak Republic. We use the semi-parametric method of Geweke and Porter-Hudak (1983 Geweke, J. and Porter-Hudak, S. 1983. The estimation and application of long memory time series models. Journal of Time Series Analysis, 4: 221–38. [Crossref] , [Google Scholar]) and parametric method of Sowell (1992 Sowell, F. 1992. Maximum likelihood estimation of stationary univariate fractionally integrated time series models. Journal of Econometrics, 53: 165–8. [Crossref], [Web of Science ®] , [Google Scholar]). The results indicate a significant long memory in the return series of the Slovak Republic. The evidence of long memory in Hungary and the Czech Republic is, however weak. Poland is the only market exhibiting short memory. Since long-memory property is inconsistent with the market efficiency, there is still room for the investors to receive unexploited profits in the stock market of the Slovak Republic.