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Stationarity of Random Data: Some Implications for the Distribution of Stock Price Changes

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  • Fielitz, Bruce D.

Abstract

This paper has discussed the importance of stationary data in statistical applications and has at the same time suggested one method for testing for stationarity. An application of the testing procedure is made to common stock prices. The results indicate that these data could be nonstationary in the usual sense of stability of the mean and mean-square values despite efforts to transform the data into a stationary form using first differences.

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  • Fielitz, Bruce D., 1971. "Stationarity of Random Data: Some Implications for the Distribution of Stock Price Changes," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(3), pages 1025-1034, June.
    • Handle: RePEc:cup:jfinqa:v:6:y:1971:i:03:p:1025-1034_02
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    Citations

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    Cited by:

    1. James P. Rozelle & Bruce D. Fielitz, 1980. "Stationarity Of Common Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(3), pages 229-242, September.
    2. Stavros Stavroyiannis & Leonidas Zarangas, 2013. "Out of Sample Value-at-Risk and Backtesting with the Standardized Pearson Type-IV Skewed Distribution," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(2), pages 231-247, April.
    3. Stephen J. Taylor & Brian G. Kingsman, 1979. "An Analysis of the Variance and Distribution of Commodity Price Changes," Australian Journal of Management, Australian School of Business, vol. 4(2), pages 135-149, October.
    4. Chung-Han Hsieh & Xin-Yu Wang, 2023. "Robust Trading in a Generalized Lattice Market," Papers 2310.11023, arXiv.org.
    5. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Mean and variance causality between the Cyprus Stock Exchange and major equity markets," Working Papers 0501, University of Crete, Department of Economics.
    6. Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2010. "Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 331-350.
    7. Stavroyiannis, S. & Makris, I. & Nikolaidis, V. & Zarangas, L., 2012. "Econometric modeling and value-at-risk using the Pearson type-IV distribution," International Review of Financial Analysis, Elsevier, vol. 22(C), pages 10-17.
    8. Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2016. "A new structural stochastic volatility model of asset pricing and its stylized facts," Papers 1604.08824, arXiv.org.
    9. Panayiotis Diamandis & Anastassios Drakos & Argyrios Volis, 2007. "The impact of stock incremental information on the volatility of the Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 17(5), pages 413-424.

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