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Title: Mean Reversion in the Nikkei, Standard & Poor and Dow Jones indices
Authors: Caporale, GM
Gil-Alana, LA
Keywords: Fractional integration; Mean Reversion
Issue Date: 2007
Publisher: Brunel University
Citation: Economics and Finance Working papers, Brunel University, 07-06
Abstract: Three stock market indices (the Nikkei 225, the Standard and Poor’s 500 and the Dow Jones EURO STOXX 50) are analysed in this paper using a parametric procedure for fractional integration. We find that the orders of integration of these three series range between 0.75 and 1.25. A model selection criterion suggests that they can be specified as fractional processes of order 0.75, with AR(1) disturbances. This indicates that the three series exhibit mean reversion.
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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