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

    Author(s)
    Narayan, Paresh
    Griffith University Author(s)
    Narayan, Paresh
    Year published
    2006
    Metadata
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    Abstract
    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.
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    Journal Title
    Mathematics and computers in simulation
    Volume
    71
    Issue
    2
    DOI
    https://doi.org/10.1016/j.matcom.2005.11.016
    Subject
    Mathematical Sciences
    Physical Sciences
    Information and Computing Sciences
    Publication URI
    http://hdl.handle.net/10072/28771
    Collection
    • Journal articles

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