IDEAS home Printed from https://ideas.repec.org/a/eee/chsofr/v36y2008i3p654-659.html
   My bibliography  Save this article

Randomly modulated periodicity in the US stock market

Author

Listed:
  • Hinich, Melvin J.
  • Serletis, Apostolos

Abstract

This paper extends the work in Serletis and Shintani [Serletis A, Shintani M. No evidence of chaos but some evidence of dependence in the US stock market. Chaos, Solitons & Fractals 2003;17:449–454], Elder and Serletis [Elder J, Serletis A. On fractional integrating dynamics in the US stock market. Chaos, Solitons & Fractals [forthcoming, 2007]], and Koustas et al. [Koustas Z, Lamarche J-F, Serletis A. Threshold random walks in the US stock market. Chaos, Solitons & Fractals [forthcoming, 2007]] by examining the empirical evidence for random walk type behavior in the US stock market. In doing so, it uses the FORTRAN 95 program developed by Hinich [Hinich MJ. A statistical theory of signal coherence. IEEE J Oceanic Eng 2000;25:256–261] and detects a statistically significant randomly modulated periodic signal.

Suggested Citation

  • Hinich, Melvin J. & Serletis, Apostolos, 2008. "Randomly modulated periodicity in the US stock market," Chaos, Solitons & Fractals, Elsevier, vol. 36(3), pages 654-659.
    • Handle: RePEc:eee:chsofr:v:36:y:2008:i:3:p:654-659
    DOI: 10.1016/j.chaos.2006.06.098
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S096007790600693X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.chaos.2006.06.098?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Koustas, Zisimos & Lamarche, Jean-François & Serletis, Apostolos, 2008. "Threshold random walks in the US stock market," Chaos, Solitons & Fractals, Elsevier, vol. 37(1), pages 43-48.
    2. Elder, John & Serletis, Apostolos, 2007. "On fractional integrating dynamics in the US stock market," Chaos, Solitons & Fractals, Elsevier, vol. 34(3), pages 777-781.
    3. Hinich, Melvin A. & Wild, Phillip, 2001. "Testing Time-Series Stationarity Against An Alternative Whose Mean Is Periodic," Macroeconomic Dynamics, Cambridge University Press, vol. 5(3), pages 380-412, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bhandari, Avishek, 2020. "Long Memory and Correlation Structures of Select Stock Returns Using Novel Wavelet and Fractal Connectivity Networks," MPRA Paper 101946, University Library of Munich, Germany.
    2. Serletis, Apostolos & Rosenberg, Aryeh Adam, 2009. "Mean reversion in the US stock market," Chaos, Solitons & Fractals, Elsevier, vol. 40(4), pages 2007-2015.
    3. Cevik, Emrah Ismail, 2012. "İstanbul Menkul Kıymetler Borsası’nda etkin piyasa hipotezinin uzun hafıza modelleri ile analizi: sektörel bazda bir inceleme [The testing of efficient market hypothesis in the Istanbul Stock Excha," MPRA Paper 71484, University Library of Munich, Germany, revised 2012.
    4. Koustas, Zisimos & Lamarche, Jean-François & Serletis, Apostolos, 2008. "Threshold random walks in the US stock market," Chaos, Solitons & Fractals, Elsevier, vol. 37(1), pages 43-48.
    5. Wild, Phillip & Hinich, Melvin J. & Foster, John, 2010. "Are daily and weekly load and spot price dynamics in Australia's National Electricity Market governed by episodic nonlinearity?," Energy Economics, Elsevier, vol. 32(5), pages 1082-1091, September.
    6. Denisa Roberts & Douglas Patterson, 2018. "A Second Order Cumulant Spectrum Test That a Stochastic Process is Strictly Stationary and a Step Toward a Test for Graph Signal Strict Stationarity," Papers 1801.06727, arXiv.org, revised Mar 2020.
    7. Phillip Wild & Melvin J. Hinich & John Foster, 2008. "The Use of Trimming to Improve the Performance of Tests for Nonlinear Serial Dependence with Application to the Australian National Electricity Market," Discussion Papers Series 367, School of Economics, University of Queensland, Australia.
    8. Cajueiro, Daniel O. & Tabak, Benjamin M., 2009. "Testing for long-range dependence in the Brazilian term structure of interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 40(4), pages 1559-1573.
    9. Melvin Hinich & Apostolos Serletis, 2007. "Randomly Modulated Periodic Signals in Alberta's Electricity Market," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 19, pages 256-267, World Scientific Publishing Co. Pte. Ltd..
    10. Nesmith Travis D & Jones Barry E, 2008. "Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(1), pages 1-18, March.
    11. Avishek Bhandari & Bandi Kamaiah, 2021. "Long Memory and Fractality Among Global Equity Markets: a Multivariate Wavelet Approach," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 23-37, March.
    12. Xu, Beibei & Chen, Diyi & Zhang, Hao & Wang, Feifei, 2015. "Modeling and stability analysis of a fractional-order Francis hydro-turbine governing system," Chaos, Solitons & Fractals, Elsevier, vol. 75(C), pages 50-61.
    13. Barry E. Jones & Travis D. Nesmith, 1999. "Tests for non-linear dynamics in systems of non-stationary economic time series: the case of short-term US interest rates," Finance and Economics Discussion Series 1999-55, Board of Governors of the Federal Reserve System (U.S.).

    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:eee:chsofr:v:36:y:2008:i:3:p:654-659. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Thayer, Thomas R. (email available below). General contact details of provider: https://www.journals.elsevier.com/chaos-solitons-and-fractals .

    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.