On fractional integrating dynamics in the US stock market

John Elder and Apostolos Serletis

Chaos, Solitons & Fractals, 2007, vol. 34, issue 3, 777-781

Abstract: This paper extends the work in [Serletis Apostolos, Shintani Mototsugu. No Evidence of Chaos but Some Evidence of Dependence in the US Stock Market. Chaos, Solitons & Fractals 2003;17:449–54] by re-examining the empirical evidence for random walk type behavior in the US stock market, using daily observations on the Dow Jones industrial average (from January 3, 1928 to March 15, 2006). In doing so, it tests for fractional integrating dynamics utilizing a new semiparametric wavelet-based estimator. We find no evidence of fractional integration and cannot reject the null hypothesis that the return process is integrated of order zero, meaning that the (log) price process contains a unit root (with drift).

Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0960077906003389
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:34:y:2007:i:3:p:777-781

DOI: 10.1016/j.chaos.2006.04.004

Access Statistics for this article

Chaos, Solitons & Fractals is currently edited by Stefano Boccaletti and Stelios Bekiros

More articles in Chaos, Solitons & Fractals from Elsevier
Bibliographic data for series maintained by Thayer, Thomas R. ().