The nonlinear effect significantly imparts on the degree of persistence of the nine countries by either inducing more or less persistence. The findings of this study show that it is important to put the autoregressive order into consideration following the significant effect it imposes on the fractional integration estimates, and there are evidences of nonlinearities in nine countries. It is important to account for the nonlinear behavior and autoregressive structure of the error disturbance term of the share price indices if correct estimates of the integration order are to be obtained. The analysis of the dynamics of the share price series using the fractional integration technique that accommodates nonlinear deterministic trend based on the Chebyshev polynomials in time is considered in this study. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Craig MacKinlay put the Random Walk Hypothesis to the test. For over half a century, financial experts have regarded the movements of markets as a random walk-unpredictable meanderings akin to a drunkard's unsteady gait-and this hypothesis has become a cornerstone of modern financial economics and many investment strategies.
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