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Fractional integration in daily stock market indexes
Author(s) -
GilAlana L.A.
Publication year - 2005
Publication title -
review of financial economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.347
H-Index - 41
eISSN - 1873-5924
pISSN - 1058-3300
DOI - 10.1016/j.rfe.2005.02.003
Subject(s) - mean reversion , hang , econometrics , economics , unit root , long memory , financial economics , unit root test , stock market , stock (firearms) , stock market index , market integration , series (stratigraphy) , cointegration , geography , macroeconomics , computer science , volatility (finance) , context (archaeology) , archaeology , operating system , paleontology , biology
I use parametric and semiparametric methods to test for the order of integration in stock market indexes. The results, which are based on the EOE (Amsterdam), DAX (Frankfurt), Hang Seng (Hong Kong), FTSE100 (London), S&P500 (New York), CAC40 (Paris), Singapore All Shares, and the Japanese Nikkei, show that in almost all of the series the unit root hypothesis cannot be rejected. The Hang Seng and the Singapore All Shares seem to be the most nonstationary series with orders of integration higher than one, and the S&P500 is the less nonstationary series, with values smaller than one and showing mean reversion.