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http://bura.brunel.ac.uk/handle/2438/27987| Title: | Persistence in high frequency financial data: the case of the Eurostoxx 50 futures prices |
| Authors: | Caporale, GM Plastun, A |
| Keywords: | persistence;long memory;R/S analysis;high-frequency data;stock market;market efficiency |
| Issue Date: | 15-Jan-2024 |
| Publisher: | Taylor & Francis |
| Citation: | Caporale, G.M. and Plastun, A. (2024) 'Persistence in high frequency financial data: the case of the Eurostoxx 50 futures prices', Cogent Economics and Finance, 12 (1), 2302639, pp. 1 - 9. doi: 10.1080/23322039.2024.2302639. |
| Abstract: | Copyright © 2024 The Author(s). Differences in the behaviour of asset prices depending on data frequency have not been thoroughly investigated in the literature despite their possible importance. In particular, high-frequency data might contain more information about financial assets because they are updated more rapidly in response to news. This paper explores persistence in high-frequency data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures prices over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results show that persistence is sensitive to the data frequency. More specifically, monthly data are highly persistent, daily ones follow a random walk, and intraday ones are anti-persistent. In addition, persistence varies over time. These findings imply that the Efficient Market Hypothesis (EMH) only holds in the case of daily data, whilst it is possible to make abnormal profits using trading strategies based on reversal strategies at the intraday frequency. |
| Description: | JEL Classification: C22, G12 An earlier version of this paper is available as a working paper at: https://www.brunel.ac.uk/economics-and-finance/research/pdf/2215-Oct-GMC-High-Frequency-persistence.pdf . It has not been certified by peer review. |
| URI: | https://bura.brunel.ac.uk/handle/2438/27987 |
| DOI: | https://doi.org/10.1080/23322039.2024.2302639 |
| ISSN: | 2332-2039 |
| Other Identifiers: | ORCID iD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 ORCID iD: Alex Plastun https://orcid.org/0000-0001-8208-7135 2302639 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Copyright © 2024 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. The terms on which this article has been published allow the posting of the Accepted Manuscript in a repository by the author(s) or with their consent. | 1.43 MB | Adobe PDF | View/Open |
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