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

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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Year of publication:	2006
Authors:	Narayan, Paresh Kumar
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 71.2006, 2, p. 103-108
Publisher:	Elsevier
Subject:	Threshold autoregressive model \| Efficient market hypothesis

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Type of publication:	Article
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010749691