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 an...

In this article we provide evidence for a rational bubble in S&P 500 stock prices by applying a test for changing persistence under fractional integration proposed by Sibbertsen and Kruse (2007). We find strong evidence for stationary long memory before the estimated change point in 1955 and a unit root afterwards. These results bring two empirical findings in line: on one hand they confirm the...

Random Coefficient AutoRegressive (RCAR) models are obtained by introducing random coefficients to an AR or more generally ARMA model. These models have second order properties similar to that of ARCH and GARCH models. In this article, a Bayesian approach to estimate the first order RCAR models is considered. A couple of Bayesian testing criteria for the unit-root hypothesis are proposed: one i...

A novel high-order fuzzy time series model for stock price forecasting is presented based on the fuzzy cmeans (FCM) discretization method and artificial neural networks (ANN). In the proposed model, the FCM discretization method obtained reliable interval lengths. In addition, the fuzzy relation matrix was obtained from ANN, mooting the need for complex and time-consuming matrix operations. The...

In this paper we show that the monthly structure of the US money stock can be specified in terms of a long-memory process, with roots at both the zero and the seasonal monthly frequencies. We use a procedure that enables us to test simultaneously for the roots at all these frequencies. The results show that the root at the long-run or zero frequency plays a much more important role than the sea...

“Yesterday the S&P500 went up by 3%”. Is this number telling all the story if half the stocks went up 5% and half went down 1%? Surely one can do a little better and give two figures, the average and the dispersion around this average, that two of us have recently christened the variety [1]. Call ri(t) the return of asset i on day t. The variety V(t) is simply the root mean square of the stock ...

We argue that the root cause behind the recent corporate scandals associated with CEO pay is the technology bubble of the latter half of the 1990s. Far from rejecting the optimal incentive contracting theory of executive compensation, the recent evidence on executive pay can be reconciled with classical agency theory once one expands the framework to allow for speculative stock markets. ∗ We wo...

This article aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focusing on the recursive right-tailed ADF test of Phillips et al. (2011b).We analyze and compare the limit theory of the recursive test under different hypotheses andmodel specifications.The size and power properties of the test under various scenarios are examined and some ...

In this paper we estimate the demand for exports and imports of manufactured goods for a panel containing the majority of the EU countries as well as the US and Japan. The model includes as explanatory factors both the traditional determinants of trade and also the stock of foreign direct investment (FDI). We apply panel unit root and cointegration tests allowing for heterogeneity. Whereas ther...