Parameter Stationarity in the Distribution of Stock Market Returns

Michael D. Stokie
Additional contact information
Michael D. Stokie: Deakin University, Geelong. Comments and suggestions by R. Ball, P. Praetz, R. Officer and the referees are gratefully acknowledged. I am indebted to P. Brown for permission to use his data file on Industrial securities 1958–1973, and for a value-weighted index 1964–1973.

Australian Journal of Management, 1983, vol. 8, issue 1, 83-90

Abstract: Population parameters in the distributions of security returns are examined for stationarity. Mean returns are found to be stationary over a sixteen year period. Variances, beta coefficients and covariances between pairs of securities can be taken as stationary in five year periods but not for sixteen years.

Keywords: BETAS; SECURITY RETURNS; STATIONARITY (search for similar items in EconPapers)
Date: 1983
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://journals.sagepub.com/doi/10.1177/031289628300800106 (text/html)

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:sae:ausman:v:8:y:1983:i:1:p:83-90

DOI: 10.1177/031289628300800106

Access Statistics for this article

More articles in Australian Journal of Management from Australian School of Business
Bibliographic data for series maintained by SAGE Publications ().