Revista de Economía y Negocios

Long Memory Dependence over Cycles in Nigerian and South-African Stock Markets

Abstract

Ajibola Arewa*, Emmanuel Chukwuemeka Ejianya, Olufemi A Ajose, James Ayodele Owoputi, Solomon Omolade Ojediran and Joy Ejighomegba Omorojor

The study adopts a time series data to investigate long memory dependence over stock market phases of some selected sub-Saharan African countries. The data for this study were collected from from 2012 to 2022. Data on stock index of Nigeria and South Africa were sourced from that site. The estimation techniques for this study are R/S (Rescale regression analysis) and ARFIMA (Autoregression Fractionally Integrated Moving Average) models. It is concluded that Nigeria stock market return has long memory in return that is current returns are correlating with future return. Similarly, in South Africa stock market current return correlate with future return in a short range. Thus, the results from this study can be used by investors to create risk and portfolio management methods because the fundamental element of anticipating return is present. Instead of using behavior patterns like herding, investors can make buy and sell choices using fully built trading algorithms.