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

  • Narayan, Paresh Kumar

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.

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Article provided by Elsevier in its journal Mathematics and Computers in Simulation (MATCOM).

Volume (Year): 71 (2006)
Issue (Month): 2 ()
Pages: 103-108

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Handle: RePEc:eee:matcom:v:71:y:2006:i:2:p:103-108
Contact details of provider: Web page: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/

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