English, Article edition: LONG MEMORY AND SAMPLING FREQUENCIES: EVIDENCE IN STOCK INDEX FUTURES MARKETS SHWU-JANE SHIEH

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Bookmark: http://trove.nla.gov.au/version/83309
Physical Description
  • article
Language
  • English

Edition details

Title
  • LONG MEMORY AND SAMPLING FREQUENCIES: EVIDENCE IN STOCK INDEX FUTURES MARKETS
Author
  • SHWU-JANE SHIEH
Physical Description
  • article
Notes
  • The long-term dependent behavior in the close prices of the S&​P 500, Nikkei 225, and Dow Jones index futures contracts are investigated by using the ARFIMA (p, d, q) model to estimate the order of the fractional integration parameters for a large range of sampling frequencies: from one-minute to monthly frequencies. The empirical evidence shows that the close prices exhibit anti-persistence properties for most of the sampling frequencies. This suggests that the contrarian's trading strategies in relation to stock index futures markets have a positive value. Moreover, the empirical evidence indicates that the higher frequency of the data, the stronger degree of contrarian behaviors, particularly for S&​P 500 and Dow Jones stock index futures contracts.
  • Long memory, detrended fluctuation analysis, contrarian strategy, ARFIMA (p, d, q)
  • RePEc:wsi:ijtafx:v:09:y:2006:i:05:p:787-799
Language
  • English
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