Deakin University
Browse

File(s) under permanent embargo

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

journal contribution
posted on 2005-10-01, 00:00 authored by Paresh Narayan
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.

History

Journal

Applied economics

Volume

37

Issue

18

Pagination

2161 - 2166

Publisher

Routledge

Location

London, England

ISSN

0003-6846

eISSN

1466-4283

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Copyright notice

2005, Taylor and Francis

Usage metrics

    Research Publications

    Categories

    No categories selected

    Keywords

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC