On spurious anti-persistence in the US stock indices

Ladislav Krištoufek ()

Chaos, Solitons & Fractals, 2010, vol. 43, issue 1, 68-78

Abstract: We reexamine the results of Serletis and Rosenberg [Serletis A, Rosenberg A. Mean reversion in the US stock market. Chaos, Solitons and Fractals 2009;40:2007–2015.] who claim that the returns of the most important US stock indices (DJI, NASDAQ, NYSE and S&P500) are strongly anti-persistent and thus mean reverting. We apply various methods to detect long-range dependence – detrending moving average, detrended fluctuation analysis, generalized Hurst exponent approach, classical rescaled range analysis and modified rescaled range analysis. We show that there are no signs of anti-persistence in any of the indices. Moreover, we discuss that the authors did not find any anti-persistence but rather showed returns of the said assets do not follow the scaling power law around their moving average with varying window length. Anti-persistence is thus spurious and due to wrong application of detrending moving average method.

Date: 2010
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:43:y:2010:i:1:p:68-78

DOI: 10.1016/j.chaos.2010.09.001

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