On spurious anti-persistence in the US stock indices

0349571 - ÚTIA 2011 GB eng J - Článek v odborném periodiku
Krištoufek, Ladislav
On spurious anti-persistence in the US stock indices.
Chaos Solitons & Fractals. Roč. 43, č. 1 (2010), s. 68-78. ISSN 0960-0779. E-ISSN 1873-2887
Grant CEP: GA ČR GD402/09/H045; GA ČR GA402/09/0965
Grant ostatní: GA UK(CZ) 118310
Výzkumný záměr: CEZ:AV0Z10750506
Klíčová slova: econophysics * long-range dependence
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 1.267, rok: 2010
http://library.utia.cas.cz/separaty/2010/E/kristoufek-on spurious anti-persistence in the us stock indices.pdf

We reexamine the results of Serletis and Rosenberg [Serletis A, Rosenberg A. Mean rever- sion in the US stock market. Chaos, Solitons and Fractals 2009;40:2007–2015.] who claim that the returns of the most important US stock indices (DJI, NASDAQ, NYSE and S&P500) are strongly anti-persistent and thus mean reverting. We apply various methods to detect long-range dependence – detrending moving average, detrended fluctuation analysis, gen- eralized Hurst exponent approach, classical rescaled range analysis and modified rescaled range analysis. We show that there are no signs of anti-persistence in any of the indices. Moreover, we discuss that the authors did not find any anti-persistence but rather showed returns of the said assets do not follow the scaling power law around their moving average with varying window length. Anti-persistence is thus spurious and due to wrong applica- tion of detrending moving average method.
Trvalý link: http://hdl.handle.net/11104/0189771