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Estimating the mean-reverting component in stock prices : a cross-country comparison
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Gallagher, Liam A., Sarno, Lucio and Taylor, Mark P. (1997) Estimating the mean-reverting component in stock prices : a cross-country comparison. Scottish Journal of Political Economy, 44 (5). pp. 566-582. doi:10.1111/1467-9485.00075
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Official URL: http://dx.doi.org/10.1111/1467-9485.00075
Abstract
This paper investigates the mean-reverting component in real stock prices for sixteen countries using a Kalman filter maximum likelihood estimation procedure to measure the transitory, permanent and seasonal components. Evidence is provided supporting the mean-reversion hypothesis that stock prices are not pure random walks: a statistically significant mean reverting component is found in each country's stock prices. Nevertheless, for twelve of the sixteen countries the transitory component does not explain more than 5% of the variation in stock prices.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
| Journal or Publication Title: | Scottish Journal of Political Economy | ||||
| Publisher: | Wiley-Blackwell Publishing Ltd. | ||||
| ISSN: | 0036-9292 | ||||
| Official Date: | 1997 | ||||
| Dates: |
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| Volume: | 44 | ||||
| Number: | 5 | ||||
| Page Range: | pp. 566-582 | ||||
| DOI: | 10.1111/1467-9485.00075 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
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