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Mean Reversion In The Spanish Stock Market Prices Using Fractionally Integrated Semiparametric Techniques

Author

Listed:
  • JAVIER DEPENYA

    (University of Navarre, Faculty of Economics, Edificio Biblioteca, Entrada Este, E-31080 Pamplona, Spain)

  • L. A. GIL-ALANA

    (University of Navarre, Faculty of Economics, Edificio Biblioteca, Entrada Este, E-31080 Pamplona, Spain)

Abstract

In this article we examine the mean-reverting property in the Spanish stock market prices by means of looking at its order of integration. We use several semiparametric procedures proposed by P. M. Robinson in a number of papers. The results show that, though the unit root hypothesis cannot be rejected in the log of the stock prices, the estimated order of integration in the first differenced series, (i.e. in the stock market returns), is slightly below zero, implying that there exists a small degree of mean reversion in the behaviour of prices.

Suggested Citation

  • Javier Depenya & L. A. Gil-Alana, 2002. "Mean Reversion In The Spanish Stock Market Prices Using Fractionally Integrated Semiparametric Techniques," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(06), pages 645-657.
    • Handle: RePEc:wsi:ijtafx:v:05:y:2002:i:06:n:s021902490200164x
    DOI: 10.1142/S021902490200164X
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    Cited by:

    1. Buckley, Winston S. & Long, Hongwei, 2015. "A discontinuous mispricing model under asymmetric information," European Journal of Operational Research, Elsevier, vol. 243(3), pages 944-955.

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