Testing of nonstationary cycles in financial time series data

F. DePenya and Luis Gil-Alana

Review of Quantitative Finance and Accounting, 2006, vol. 27, issue 1, 47-65

Abstract: In this article we propose a method for testing nonstationary cycles in financial time series data. We use a procedure that permits us to test unit root cycles in raw time series. The test has several distinguishing features compared with other procedures. In particular, it has a standard null limit distribution and is the most efficient test when directed against the appropriate (fractional) alternatives. In addition, it allows us to test unit root cycles at each of the frequencies, and, thus, it permits us to approximate the number of periods per cycle. The results, based on the daily structure of Spanish Stock Market prices (IBEX35), show that some intra-year cycles occur, and they take place at approximately 6, 9 or between 24 and 50 periods. The analysis was extended to several other stock market indices of various countries and though the results differ in terms of frequencies, the same conclusions hold, finding evidence of intra-year cyclical effects in all countries. Copyright Springer Science + Business Media, LLC 2006

Keywords: Efficient market hypothesis; Unit root cycles; Autocorrelation; Nonstationarity (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1007/s11156-006-8542-8 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Testing of Nonstationary Cycles in Financial Time Series Data (2003)
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:kap:rqfnac:v:27:y:2006:i:1:p:47-65

Ordering information: This journal article can be ordered from
http://www.springer.com/finance/journal/11156/PS2

DOI: 10.1007/s11156-006-8542-8

Access Statistics for this article

Review of Quantitative Finance and Accounting is currently edited by Cheng-Few Lee

More articles in Review of Quantitative Finance and Accounting from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().