TY - JOUR
T1 - The behaviour of US stock prices
T2 - evidence from a threshold autoregressive model
AU - Narayan, Paresh Kumar
N1 - Copyright:
Copyright 2008 Elsevier B.V., All rights reserved.
PY - 2006/4/11
Y1 - 2006/4/11
N2 - 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.
AB - 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.
KW - Efficient market hypothesis
KW - Threshold autoregressive model
UR - http://www.scopus.com/inward/record.url?scp=33644905543&partnerID=8YFLogxK
U2 - 10.1016/j.matcom.2005.11.016
DO - 10.1016/j.matcom.2005.11.016
M3 - Article
AN - SCOPUS:33644905543
SN - 0378-4754
VL - 71
SP - 103
EP - 108
JO - Mathematics and Computers in Simulation
JF - Mathematics and Computers in Simulation
IS - 2
ER -