Are the Nordic Stock Markets Mean Reverting?
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References listed on IDEAS
- Myung Jig Kim & Charles R. Nelson & Richard Startz, 1991.
"Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence,"
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- Myung Jig Kim & Charles R. Nelson & Richard Startz, 1988. "Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence," NBER Working Papers 2795, National Bureau of Economic Research, Inc.
- Malliaropulos, Dimitrios & Priestley, Richard, 1999. "Mean reversion in Southeast Asian stock markets," Journal of Empirical Finance, Elsevier, vol. 6(4), pages 355-384, October.
- Graflund, Andreas, 2000. "A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Working Papers 2000:8, Lund University, Department of Economics, revised 30 Jan 2002.
- Luginbuhl, Rob & de Vos, Aart, 1999. "Bayesian Analysis of an Unobserved-Component Time Series Model of GDP with Markov-Switching and Time-Varying Growths," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(4), pages 456-465, October.
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- Kim, Chang-Jin & Nelson, Charles R. & Startz, Richard, 1998. "Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 131-154, June.
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More about this item
Keywordsmarket efficiency; variance ratio; Gibbs sampling; hidden Markov chains; MCMC;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-09-26 (All new papers)
- NEP-EEC-2001-09-26 (European Economics)
- NEP-FMK-2001-09-26 (Financial Markets)
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