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

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  • Narayan, Paresh Kumar

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.

Suggested Citation

  • Narayan, Paresh Kumar, 2006. "The behaviour of US stock prices: Evidence from a threshold autoregressive model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 71(2), pages 103-108.
    • Handle: RePEc:eee:matcom:v:71:y:2006:i:2:p:103-108
    DOI: 10.1016/j.matcom.2005.11.016
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    References listed on IDEAS

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    More about this item

    Keywords

    Threshold autoregressive model; Efficient market hypothesis;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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