The behaviour of US stock prices: Evidence from a threshold autoregressive model
Author(s)
Narayan, Paresh
Griffith University Author(s)
Year published
2006
Metadata
Show full item recordAbstract
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.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.
View less >
View less >
Journal Title
Mathematics and computers in simulation
Volume
71
Issue
2
Subject
Mathematical Sciences
Physical Sciences
Information and Computing Sciences