SPECTRAL ANALYSIS OF NEW YORK STOCK MARKET PRICES1
作者:
CLIVE W. J. GRANGER,
OSKAR MORGENSTERN,
期刊:
Kyklos
(WILEY Available online 1963)
卷期:
Volume 16,
issue 1
页码: 1-27
ISSN:0023-5962
年代: 1963
DOI:10.1111/j.1467-6435.1963.tb00270.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
SUMMARYNew York stock price series are analyzed by a new statistical technique. It is found that short‐run movements of the series obey the simple random walk hypothesis proposed by earlier writers, but that the long‐run components are of greater importance than suggested by this hypothesis. The seasonal variation and the ‘businesscycle’ components are shown to be of little or no importance and a surprisingly small connection was found between the amount of stocks sold and the stock price
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