Vol 9, No 4 (2021)
Does Long-Memory Prevail in Saudi Stock Market?
Khalafalla Ahmed Mohamed Arabi, Dirar Abdulhameed Alotaibi
Abstract
We intend to explore whether there is a long-memory of Tadawul All Shares Index (TASI) returns and realized volatility for the period 26/1/1994–31/12/2020 as an indication of market inefficiency. Motivated by lack of in-depth analysis of previous studies, we investigated the existence of the long-memory with four models that are the autoregressive fractionally integrated moving average for returns (ARFIMA_R), and for realized volatility (ARFIMA_RV), a heterogeneous autoregressive model (HAR), and a combination of HAR&GARCH, (RARFIMA) for the whole period and up-and-down –trend-subsamples. The estimated long-memory of both raw returns and the realized volatility was positive and observed in all models, while the division of the whole sample into six sup-samples revealed very near positive values, and less than the threshold long-memory values via ARFIMA, and the combination of ARFIMA-HAR models, thus suggesting the marginal effect of the sample size on d values. Moreover, the presence of a long-memory exposed market inefficiency.
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Keywords
Long-memory, Realized volatility, Sup-samples, TASI returns.
Publication information
Volume 9, Issue 4
Year of Publication: 2021
ISSN: 1857 - 8721
Publisher: EDNOTERA
How to cite
Mohamed Arabi K.A, Dirar Abdulhameed Alotaibi D.A: Does Long-Memory Prevail in Saudi Stock Market? Journal of Applied Economics and Business, Vol 9, No. 4, 5-20. (2021)