How long is the memory of the US stock market?

The Efficient Market Hypothesis (EMH), one of the most important hypothesis in financial economics, argues that return rates have no memory (correlation) which implies that agents cannot make abnormal profits in financial markets, due to the possibility of arbitrage operations. With return rates for the US stock market, we corroborate the fact that with a linear approach, return rates do not show evidence of correlation. However, linear approaches might not be complete or global, since return rates could suffer from nonlinearities. Using detrended cross-correlation analysis and its correlation coefficient, a methodology which analyzes long-range behavior between series, we show that the long-range correlation of return rates only ends in the 149th lag, which corresponds to about seven months. Does this result undermine the EMH?

G7 Stock Markets: Who is The First to Defeat The DCCA Correlation?

Following the methodology of Ferreira and Dionísio (2016), the objective of this paper is to analyze the behavior stock markets in the G7 countries and find which of those countries is the first to reach levels of long-range correlations that are not significant. We carry out this analysis using detrended cross-correlation analysis and its correlation coefficient, to check for the existence of long-range dependence in time series. The existence of long-range dependence could be understood as a possibility of EMH violation. This analysis remains interesting because studies are not conclusive about the existence or not of long memory in stock return rates.

Test of Emotion Comprehension: Exploring the underlying structure through Confirmatory Factor Analysis and Similarity Structure Analysis

Some decades of research on emotional development have underlined the contribution of several domains to emotional understanding in childhood. Based on this research, Pons and colleagues (Pons & Harris, 2002; Pons, Harris & Rosnay, 2004) have proposed the Test of Emotion Comprehension (TEC) which assesses nine domains of emotional understanding, namely the recognition of emotions, based on facial expressions; the comprehension of external emotional causes; impact of desire on emotions; emotions based on beliefs; memory influence on emotions; possibility of emotional regulation; possibility of hiding an emotional state; having mixed emotions; contribution of morality to emotional experiences. This instrument was administered individually to 182 Portuguese children aged between 8 and 11 years, of 3rd and 4th grades, in public schools. Additionally, we used the Socially in Action-Peers (SAp) (Rocha, Candeias & Lopes da Silva, 2012) to assess TEC’s criterion-related validity. Mean differences results in TEC by gender and by socio-economic status (SES) were analyzed. The results of the TEC’s psychometric analysis were performed in terms of items’ sensitivity and reliability (stability, test-retest). Finally, in order to explore the theoretical structure underlying TEC a Confirmatory Factor Analysis and a Similarity Structure Analysis were computed. Implications of these findings for emotional understanding assessment and intervention in childhood are discussed.