Fractional integration in daily stock market indexes

L.A. Gil‐Alana
Authors registered in the RePEc Author Service: Luis Alberiko Gil-Alana

Review of Financial Economics, 2006, vol. 15, issue 1, 28-48

Abstract: I use parametric and semiparametric methods to test for the order of integration in stock market indexes. The results, which are based on the EOE (Amsterdam), DAX (Frankfurt), Hang Seng (Hong Kong), FTSE100 (London), S&P500 (New York), CAC40 (Paris), Singapore All Shares, and the Japanese Nikkei, show that in almost all of the series the unit root hypothesis cannot be rejected. The Hang Seng and the Singapore All Shares seem to be the most nonstationary series with orders of integration higher than one, and the S&P500 is the less nonstationary series, with values smaller than one and showing mean reversion.

Date: 2006
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https://doi.org/10.1016/j.rfe.2005.02.003

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Persistent link: https://EconPapers.repec.org/RePEc:wly:revfec:v:15:y:2006:i:1:p:28-48

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