Are the Australian and New Zealand stock prices nonlinear with a unit root?

Narayan, Paresh Kumar 2005, Are the Australian and New Zealand stock prices nonlinear with a unit root?, Applied economics, vol. 37, no. 18, pp. 2161-2166.

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Title Are the Australian and New Zealand stock prices nonlinear with a unit root?
Author(s) Narayan, Paresh Kumar
Journal name Applied economics
Volume number 37
Issue number 18
Start page 2161
End page 2166
Publisher Routledge
Place of publication London, England
Publication date 2005-10
ISSN 0003-6846
1466-4283
Summary Whether or not stock prices are characterized by a unit root has important implications for policy. For instance, by applying unit root tests one can deduce whether stock returns can be predicted from previous changes in prices. A finding of a unit root implies that stock returns cannot be predicted. This paper investigates whether or not stock prices for Australia and New Zealand can be characterized by a unit root process. An unrestricted two-regime threshold autoregressive model is used with an autoregressive unit root. Among the main results, it is found that the stock prices of both countries are nonlinear processes that are characterized by a unit root process, consistent with the efficient market hypothesis.
Language eng
Field of Research 140212 Macroeconomics (incl Monetary and Fiscal Theory)
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2005, Taylor and Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30024665

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