The behaviour of US stock prices : evidence from a threshold autoregressive model

Narayan, Paresh Kumar 2006, The behaviour of US stock prices : evidence from a threshold autoregressive model, Mathematics and computers in simulation, vol. 71, no. 2, pp. 103-108.

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Title The behaviour of US stock prices : evidence from a threshold autoregressive model
Author(s) Narayan, Paresh Kumar
Journal name Mathematics and computers in simulation
Volume number 71
Issue number 2
Start page 103
End page 108
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2006-04-11
ISSN 0378-4754
1872-7166
Keyword(s) threshold autoregressive model
efficient market hypothesis
Summary 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.
Language eng
Field of Research 140305 Time-Series Analysis
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2005, IMACS
Persistent URL http://hdl.handle.net/10536/DRO/DU:30018546

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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