Management Science and Financial Engineering

  • 제17권2호
  • /
  • Pages.85-97
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  • 2011
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  • 2287-2043(pISSN)
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  • 2287-2361(eISSN)
한국경영과학회 (The Korean Operations Research and Management Science Society)
권호 표지

Long Term Mean Reversion of Stock Prices Based on Fractional Integration

  • 투고 : 2011.09.26
  • 심사 : 2011.11.07
  • 발행 : 2011.11.30
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초록

In this study we examine the long term behavior of stock returns. The analysis reveals that negative autocorrelations of the returns exist for a super-long horizon as long as 10 years. This pattern, however, contrasts to predictions of previous stock price models which include random walks. We suggest the introduction of a fractionally integrated process into a nonstationary component of stock prices, and demonstrate empirically the existence of the process in NYSE stock returns. The predicted values of autocorrelation from our stock price model confirm the super-long term behavior of the returns observed in regression, indicating that inefficiency in the stock market could remain for a long time.

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참고문헌

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