Persistence and efficiency of OECD stock markets: linear and nonlinear fractional integration approaches

The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields

“…To sum up, although a variety of studies had already examined persistence in stock prices and bond yields using fractional integration techniques (see, e.g., Caporale et al, 2020Caporale et al 2022; Adekoya, 2021 ; Bala and Gupta, 2021 ), hardly any had considered the most recent period including the Covid-19 pandemic and examined whether its outbreak coincided with a change in persistence ( Štifanić et al, 2020 being one of the few exceptions, though providing relatively limited evidence for stock prices only using wavelet and network methods) – this is instead the focus of our analysis which, as explained above, produces the interesting result that the pandemic has had a significant impact on the stochastic behaviour of bond yields but not of stock prices.…”

“…As for share prices, Adekoya (2021) analysed their dynamic behaviour in the OECD countries using a fractional integration framework allowing for nonlinear deterministic trends modelled as Chebyshev polynomials. They showed the importance of specifying correctly the autocorrelation structure and found evidence of nonlinear behaviour in the persistence of the series, especially in Belgium, Japan and Hungary, whose markets appear to have become less efficient over time.…”

Commodity and financial markets’ fear before and during COVID-19 pandemic: Persistence and causality analyses

“… 1 The semiparametric technique has enjoyed wide use in related studies on persistence (see Adekoya, 2020a ; Adekoya et al, 2021a , Adekoya et al, 2021b ; Yaya et al, 2020 ; Adekoya, 2021 etc.). …”

Prediction and Analysis of ChiNext Stock Price Based on Linear and Non-linear Composite Model

“…The specific conversion formula is as follows: Figure 2 The square of the residual plot The result of parameter estimation of the GARCH model is given. And we write the estimated results of the parameters into the GARCH regression equation [9]. Mean value equation:…”