The Identical Distribution Hypothesis for Stock Market Prices—Location- and Scale-Shift Alternatives
作者:
MukhtarM. Ali,
Carmelo Giaccotto,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1982)
卷期:
Volume 77,
issue 377
页码: 19-28
ISSN:0162-1459
年代: 1982
DOI:10.1080/01621459.1982.10477762
出版商: Taylor & Francis Group
关键词: Identical distribution hypothesis;Non-parametric tests;Stock-price changes
数据来源: Taylor
摘要:
This article explores the identical distribution hypothesis for stock-price changes through a set of optimum non-parametric tests for randomness against location- and scale-shift alternatives. An application of these tests to the daily, weekly, monthly, and quarterly rates of return from 1966 through 1976 for each of the first 15 stocks in the Dow Jones Industrial Average reveals that these series may have constant location parameters throughout the sample period, but the stability of their scale parameters is questionable.
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