Causes of Long Memory Property in the Highof Asia-Pacific Stock Markets

This paper has examined the origins of the long memory volatility property using the high frequency data of eight Asian-Pacific stock market returns. We use various long memory models, namely non-parametric (classical and modified rescaled range (R/S) analysis) and semi-parametric (Geweke, Porter-Hudak (GPH) and Local Whittle (LW)) tests, over various time scale intraday returns, such as 10-min, 15-min and 30-min. We provide three important implications in this study. First, we find the persistence in the autocorrelations of 10-min intraday volatility. Second, both non-parametric R/S analyses show absence (presence) of long memory in the intraday returns (volatility). Third, using two semi-parametric long memory tests (GPH and LW), the estimates of long memory parameter (d) are invariant to temporally aggregated intraday volatility returns, implying that a long memory phenomenon is an inherent characteristic of the data generating process, not a result of structural breaks.