Are stock prices in the US nonstationary? Evidence from contemporary unit root tests
AbstractThis article extends the empirical literature on the efficiency of stock markets in the US by applying a battery of unit root tests to empirically ascertain whether stock prices are mean reverting. This article, unlike previous studies, employs a disaggregated approach using the daily closing values of the Dow Jones industrial average, NASDAQ composite and S&P 500 index covering the period 5 February 1971 to 31 December 2009 to investigate the integration properties of the US stock market. The empirical findings reveal that the three major stock price series are nonstationary, indicating that they do not follow a trend path. The primary implication is that trading strategies that simply rely on mean reversion of stock prices are valueless.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 21 (2011)
Issue (Month): 22 ()
Contact details of provider:
Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.