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

journal contribution
posted on 2006-04-11, 00:00 authored by Paresh Narayan
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.

History

Journal

Mathematics and computers in simulation

Volume

71

Issue

2

Pagination

103 - 108

Publisher

Elsevier

Location

Amsterdam, The Netherlands

ISSN

0378-4754

eISSN

1872-7166

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Copyright notice

2005, IMACS

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