Do U.S. stock prices exhibit mean reversion? Evidence from recent nonlinear unit root tests

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Abstract

This research paper extends the empirical literature on the stochastic properties of U.S. stock prices by applying nonlinear unit root tests developed recently by Kapetanios, Shin and Snell (2003) to statistically ascertain whether U.S. stock prices are non-stationary or non-linear and globally stationary. We analyze three U.S. stock price series over the period 1971.Q1-2009.Q4, and our results indicate that stock prices are non-stationary which supports the weak form of the efficient market hypothesis for the overall U.S. equity market. Policy implications of these findings are discussed.

Original languageEnglish (US)
Pages (from-to)46-49
Number of pages4
JournalInternational Research Journal of Finance and Economics
Volume68
StatePublished - May 1 2011

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All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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