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

Authors:
Paresh Kumar Narayan
Affiliations:
Griffith Business School, Department of Accounting, Finance and Economics, Gold Coast Campus, Griffith University, PMB 50 Gold Coast MC, Qld 9726, Australia
Venue:
Mathematics and Computers in Simulation
Year:
2006

Citing 0
Cited 2

A threshold cointegration test with increased power

Mathematics and Computers in Simulation
Do shocks to G7 stock prices have a permanent effect?

Mathematics and Computers in Simulation

Quantified Score

Hi-index	0.00

Visualization

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.