Are Stock Returns Predictable? A Test Using Markov Chains
作者:
GRANT MCQUEEN,
STEVEN THORLEY,
期刊:
The Journal of Finance
(WILEY Available online 1991)
卷期:
Volume 46,
issue 1
页码: 239-263
ISSN:0022-1082
年代: 1991
DOI:10.1111/j.1540-6261.1991.tb03751.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
ABSTRACTThis paper uses a Markov chain model to test the random walk hypothesis of stock prices. Given a time series of returns, a Markov chain is defined by letting one state represent high returns and the other represent low returns. The random walk hypothesis restricts the transition probabilities of the Markov chain to be equal irrespective of the prior years. Annual real returns are shown to exhibit significant nonrandom walk behavior in the sense that low (high) returns tend to follow runs of high (low) returns in the postwar period.
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