Patterns in Three Centuries of Stock Market Prices
This article applies autoregression and rescaled range statistics to very long stock market series to test the hypothesis that long-term temporal dependencies are present in financial data. For the annual capital appreciation returns to the London Stock Exchange, evidence of persistence in raw returns greater than five years and of mean reversion in deviations from rolling twenty-year averages is found. Similar patterns are observed for the New York Stock Exchange; however, they are not significant at traditional confidence levels. Copyright 1993 by University of Chicago Press.
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