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

Paresh Kumar Narayan

doi:10.1016/j.matcom.2005.11.016

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

Paresh Kumar Narayan

Research output: Contribution to journal › Article › Research › peer-review

46 Citations (Scopus)

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.

Original language	English
Pages (from-to)	103-108
Number of pages	6
Journal	Mathematics and Computers in Simulation
Volume	71
Issue number	2
DOIs	https://doi.org/10.1016/j.matcom.2005.11.016
Publication status	Published - 11 Apr 2006
Externally published	Yes

Keywords

Efficient market hypothesis
Threshold autoregressive model

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10.1016/j.matcom.2005.11.016

Cite this

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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.",

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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.

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

Abstract

Keywords

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