The behaviour of US stock prices : evidence from a threshold autoregressive model
| Data(s) |
11/04/2006
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|---|---|
| Resumo |
This paper investigates the behaviour of US stock prices using an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. The TAR model is applied to monthly stock price (NYSE Common Stocks) data for the US for the period 1964:06 to 2003:04. Amongst our main results, we find that the US stock price is a nonlinear series that is characterized by a unit root process, consistent with the efficient market hypothesis.<br /> |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
Elsevier |
| Relação |
http://dro.deakin.edu.au/eserv/DU:30018546/narayan-behaviourofusstock-2006.pdf http://dx.doi.org/10.1016/j.matcom.2005.11.016 |
| Direitos |
2005, IMACS |
| Palavras-Chave | #threshold autoregressive model #efficient market hypothesis |
| Tipo |
Journal Article |
