Stationarity of Random Data: Some Implications for the Distribution of Stock Price Changes

Bruce D. Fielitz

Journal of Financial and Quantitative Analysis, 1971, vol. 6, issue 3, 1025-1034

Abstract: This paper has discussed the importance of stationary data in statistical applications and has at the same time suggested one method for testing for stationarity. An application of the testing procedure is made to common stock prices. The results indicate that these data could be nonstationary in the usual sense of stability of the mean and mean-square values despite efforts to transform the data into a stationary form using first differences.

Date: 1971
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