IDEAS home Printed from https://ideas.repec.org/a/bes/jnlbes/v18y2000i4p489-96.html
   My bibliography  Save this article

Stationary Components in Stock Prices: An Exact Pointwise Most Powerful Invariant Test

Author

Listed:
  • Shively, Philip A

Abstract

This article develops an exact small-sample, pointwise most powerful invariant test to determine whether stock prices contain a stationary and therefore predictable component. This test generates consistent evidence that stock prices contain a hump-shaped, slowly trend-reverting stationary component over all sample periods tested, including and excluding the high return variance years of the 1930s. The empirical evidence in this article addresses three prominent puzzles in this literature--the negative and positive autocorrelations found in stock returns, the role of the 1930s, and the very low reported power of previous statistical tests that find a stationary component.

Suggested Citation

  • Shively, Philip A, 2000. "Stationary Components in Stock Prices: An Exact Pointwise Most Powerful Invariant Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 489-496, October.
    • Handle: RePEc:bes:jnlbes:v:18:y:2000:i:4:p:489-96
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ai Deng, 2014. "Understanding Spurious Regression in Financial Economics," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 122-150.
    2. Shively, Philip A., 2007. "Asymmetric temporary and permanent stock-price innovations," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 120-130, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bes:jnlbes:v:18:y:2000:i:4:p:489-96. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.