Deakin home > Deakin University Library > Deakin Research Online > The behaviour of US stock prices : evidence from a threshold autoregressive model

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.

Attached Files (Some files may be inaccessible until you login with your Deakin Research Online credentials)
Name Description MIMEType Size Downloads

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
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in Deakin Research Online is owned by the author, with all rights reserved.

Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 18 times in TR Web of Science
Scopus Citation Count Cited 25 times in Scopus
Access Statistics: 356 Abstract Views, 1 File Downloads  -  Detailed Statistics
Created: Tue, 08 Sep 2009, 13:49:25 EST by Liz Hau