Are the Nordic Stock Markets Mean Reverting?

Arbeitspapier

In this paper we test for mean reversion in the Nordic stock markets using monthly nominal data 1947-1998. By simply account for the heteroscedasticity of the data with a regime-switching model of normal distributions and taking estimation bias into account via a Bayesian approach we can find no support of mean reversion. This is a contradiction to some previous result from Denmark and Sweden. Our findings suggest that mixtures of two regimes can characterize the each stock market and within the regimes the stock market is random. This finding of randomness is in line with recent evidence in literature.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2001:15

Classification and Topics

• Classification: Wirtschaft ; Bayesian Analysis: General ; Statistical Simulation Methods: General ; General Financial Markets: General (includes Measurement and Data)
• Subject: market efficiency ; variance ratio ; Gibbs sampling ; hidden Markov chains ; MCMC

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Graflund, Andreas
• Event: Veröffentlichung
• (who): Lund University, School of Economics and Management, Department of Economics
• (where): Lund
• (when): 2001

Further information

• Handle: http://hdl.handle.net/10419/259851
• Last update: 10.03.2025, 11:42 AM CET