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http://bura.brunel.ac.uk/handle/2438/1041| 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. |
| URI: | http://bura.brunel.ac.uk/handle/2438/1041 |
| Appears in Collections: | Economics and Finance Dept of Economics and Finance Research Papers |
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