The behaviour of us stock prices: evidence from
A threshold autoregressive model
This paper investigates the behavior of us stock prices using an
Unrestricted two – regime threshold autoregressive (TAR) model within 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 efficient market hypothesis.@2005IMACS.Published by Elsevier b.y.allrights reserved.
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