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Non‐periodic Australian Stock Market Cycles: Evidence from Rescaled Range Analysis
Author(s) -
McKenzie Michael D.
Publication year - 2001
Publication title -
economic record
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.365
H-Index - 42
eISSN - 1475-4932
pISSN - 0013-0249
DOI - 10.1111/1475-4932.00032
Subject(s) - econometrics , stock market , nonparametric statistics , stock (firearms) , complement (music) , independent and identically distributed random variables , mathematics , range (aeronautics) , economics , long memory , financial market , statistics , finance , random variable , geography , volatility (finance) , biochemistry , context (archaeology) , chemistry , materials science , archaeology , complementation , composite material , gene , phenotype
The standard complement of statistical techniques used to identify predictable market structure is only capable of identifying regular periodic cycles and assumes that the data are independent and identically distributed (i.i.d.). Yet, financial returns data are not independent and cycles are most probably not periodic. Rescaled range analysis is a nonparametric technique that can distinguish the average cycle length of irregular cycles. Using Australian stock market data, this paper finds evidence of long memory in the returns generating process and non‐periodic cycles of approximately 3, 6 and 12 years in average duration.