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Working Paper Series - North Africa Stock Markets: Analysis of Unit Root and Long Memory Process



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North Africa Stock Markets: Analysis of Unit Root and Long Memory Process


Volume : 0

No : 0

ISSN : WPS0906

Publisher : Arab Planning Institute - Kuwait

Author (s) : Ibrahim Onour 

Published Date : 1/1/2009


Contents :
This paper investigatesunit root and long memory behavior of stock returns from Egypt, Tunisa,and Morrocco stock markets. Results in the paper support evidence of stationaryshort memory process for returns of these markets. Stationary and short memoryof stock returns imply shocks to these markets cannot persist for long periods,and most recent lagged returns have more predictive power for future returnsthan long-term factors. 

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