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 language||English (US)|
|Number of pages||4|
|Journal||International Research Journal of Finance and Economics|
|State||Published - May 1 2011|
All Science Journal Classification (ASJC) codes
- Economics and Econometrics