The behaviour of US stock prices: Evidence from a threshold autoregressive model

Paresh Narayan ()

Mathematics and Computers in Simulation (MATCOM), 2006, vol. 71, issue 2, 103-108

Abstract: This paper investigates the behaviour of US stock prices using an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. The TAR model is applied to monthly stock price (NYSE Common Stocks) data for the US for the period 1964:06 to 2003:04. Amongst our main results, we find that the US stock price is a nonlinear series that is characterized by a unit root process, consistent with the efficient market hypothesis.

Keywords: Threshold autoregressive model; Efficient market hypothesis (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (29)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:71:y:2006:i:2:p:103-108

DOI: 10.1016/j.matcom.2005.11.016

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