IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v67y2000i2p193-200.html
   My bibliography  Save this article

Measuring the temporary component of stock prices: robust multivariate analysis

Author

Listed:
  • Gallagher, Liam A.
  • Taylor, Mark P.

Abstract

No abstract is available for this item.

Suggested Citation

  • Gallagher, Liam A. & Taylor, Mark P., 2000. "Measuring the temporary component of stock prices: robust multivariate analysis," Economics Letters, Elsevier, vol. 67(2), pages 193-200, May.
    • Handle: RePEc:eee:ecolet:v:67:y:2000:i:2:p:193-200
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(99)00258-X
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Myung Jig Kim & Charles R. Nelson & Richard Startz, 1991. "Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 515-528.
    2. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.
    3. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
    4. Shiller, Robert J. & Beltratti, Andrea E., 1992. "Stock prices and bond yields : Can their comovements be explained in terms of present value models?," Journal of Monetary Economics, Elsevier, vol. 30(1), pages 25-46, October.
    5. Richardson, Matthew & Stock, James H., 1989. "Drawing inferences from statistics based on multiyear asset returns," Journal of Financial Economics, Elsevier, vol. 25(2), pages 323-348, December.
    6. Phillips, Peter C B & McFarland, James W & McMahon, Patrick C, 1996. "Robust Tests of Forward Exchange Market Efficiency with Empirical Evidence from the 1920s," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 1-22, Jan.-Feb..
    7. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-273, April.
    8. Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-565, September.
    9. Taylor, Mark P. & Peel, David A., 1998. "Periodically collapsing stock price bubbles: a robust test," Economics Letters, Elsevier, vol. 61(2), pages 221-228, November.
    10. Im, K.S., 1996. "Least Square Approach to Non-Normal Disturbances," Cambridge Working Papers in Economics 9603, Faculty of Economics, University of Cambridge.
    11. Marshall, David A, 1992. "Inflation and Asset Returns in a Monetary Economy," Journal of Finance, American Finance Association, vol. 47(4), pages 1315-1342, September.
    12. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
    13. Lee, Bong-Soo, 1995. "The Response of Stock Prices to Permanent and Temporary Shocks to Dividends," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 1-22, March.
    14. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October.
    15. John H. Cochrane, 1994. "Permanent and Transitory Components of GNP and Stock Prices," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 109(1), pages 241-265.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fraser, Patricia & Groenewold, Nicolaas, 2006. "US share prices and real supply and demand shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(1), pages 149-167, February.
    2. Patricia Fraser & Nicolaas Groenewold, 2004. "US share prices and real demand and supply shocks," Money Macro and Finance (MMF) Research Group Conference 2003 31, Money Macro and Finance Research Group.
    3. James Hansen, 2011. "Does Equity Mispricing Influence Household and Firm Decisions?," RBA Research Discussion Papers rdp2011-06, Reserve Bank of Australia.
    4. Andrea J. Heuson & Mark C. Hutchinson & Alok Kumar, 2020. "Predicting hedge fund performance when fund returns are skewed," Financial Management, Financial Management Association International, vol. 49(4), pages 877-896, December.
    5. Narayan, Paresh Kumar & Thuraisamy, Kannan S., 2013. "Common trends and common cycles in stock markets," Economic Modelling, Elsevier, vol. 35(C), pages 472-476.
    6. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 120-130, January.
    7. Patricia Fraser & Nicolaas Groenewold, 2003. "US Share Prices and Real Supply and Demand Shocks," Economics Discussion / Working Papers 03-19, The University of Western Australia, Department of Economics.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Liam A. Gallagher & Mark P. Taylor, 2002. "Permanent and Temporary Components of Stock Prices: Evidence from Assessing Macroeconomic Shocks," Southern Economic Journal, John Wiley & Sons, vol. 69(2), pages 345-362, October.
    2. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 120-130, January.
    3. Liam Gallagher, 1999. "A multi-country analysis of the temporary and permanent components of stock prices," Applied Financial Economics, Taylor & Francis Journals, vol. 9(2), pages 129-142.
    4. Bonomo, Marco & Garcia, Rene, 1996. "Consumption and equilibrium asset pricing: An empirical assessment," Journal of Empirical Finance, Elsevier, vol. 3(3), pages 239-265, September.
    5. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
    6. Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2001. "Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 403-426, September.
    7. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2005. "A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability," Research in International Business and Finance, Elsevier, vol. 19(1), pages 53-70, March.
    8. Kim, Hyeongwoo, 2009. "On the usefulness of the contrarian strategy across national stock markets: A grid bootstrap analysis," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 734-744, December.
    9. Shu-Ling Chen & Hyeongwoo Kim, 2011. "Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets," International Economic Journal, Taylor & Francis Journals, vol. 25(2), pages 239-250.
    10. Balvers, Ronald J. & Mitchell, Douglas W., 2000. "Efficient gradualism in intertemporal portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 24(1), pages 21-38, January.
    11. William A. Brock & Blake LeBaron, 1990. "Liquidity Constraints in Production-Based Asset-Pricing Models," NBER Chapters, in: Asymmetric Information, Corporate Finance, and Investment, pages 231-256, National Bureau of Economic Research, Inc.
    12. Shlomo Zilca, 2010. "The variance ratio and trend stationary model as extensions of a constrained autoregressive model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(5), pages 467-475.
    13. Simon van Norden & Huntley Schaller, 2002. "Fads or bubbles?," Empirical Economics, Springer, vol. 27(2), pages 335-362.
    14. John Y. Campbell & John Cochrane, 1999. "Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
    15. Felix Schindler, 2014. "Persistence and Predictability in UK House Price Movements," The Journal of Real Estate Finance and Economics, Springer, vol. 48(1), pages 132-163, January.
    16. Felix Schindler, 2013. "Predictability and Persistence of the Price Movements of the S&P/Case-Shiller House Price Indices," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 44-90, January.
    17. Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim, 2008. "Nonlinear mean reversion in stock prices," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 767-782, May.
    18. Adrian Buckley, 1999. "An introduction to security returns," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 165-180.
    19. John B. Donaldson & Rajnish Mehra, 2021. "Average crossing time: An alternative characterization of mean aversion and reversion," Quantitative Economics, Econometric Society, vol. 12(3), pages 903-944, July.
    20. Simon van Norden & Huntley Schaller & ), 1995. "Regime Switching in Stock Market Returns," Econometrics 9502002, University Library of Munich, Germany.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:67:y:2000:i:2:p:193-200. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.