| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1141380 | Mathematics and Computers in Simulation | 2006 | 6 Pages |
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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Engineering
Control and Systems Engineering
Authors
Paresh Kumar Narayan,