LONG MEMORY AND SAMPLING FREQUENCIES: EVIDENCE IN STOCK INDEX FUTURES MARKETS

摘要

The long-term dependent behavior in the close prices of the S&P 500, Nikkei 225, and Dow Jones index futures contracts are investigated by using the ARFIMA (p, d, q) model to estimate the order of the fractional integration parameters for a large range of sampling frequencies: from one-minute to monthly frequencies. The empirical evidence shows that the close prices exhibit anti-persistence properties for most of the sampling frequencies. This suggests that the contrarian's trading strategies in relation to stock index futures markets have a positive value. Moreover, the empirical evidence indicates that the higher frequency of the data, the stronger degree of contrarian behaviors, particularly for S&P 500 and Dow Jones stock index futures contracts.