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The Time‐Variance Relationship of Security Returns: Implications for the Return‐Generating Stochastic Process

Journal of Finance 1982 37(3), 857-870

ABSTRACT Using a test statistic which specifically allows for parameter shifts over time, we investigate the time‐variance relationship of security returns. The null hypothesis of stationary and independent increments is rejected, and the existence of a complex short‐term reversal phenomenon is reported.

The Time-Variance Relationship of Security Returns: Implications for the Return-Generating Stochastic Process

Philip R. Perry

Journal of Finance 1982 37(3), 857

Using a test statistic which specifically allows for parameter shifts over time, we investigate the time-variance relationship of security returns. The null hypothesis of stationary and independent increments is rejected, and the existence of a complex short-term reversal phenomenon is reported.

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The Time‐Variance Relationship of Security Returns: Implications for the Return‐Generating Stochastic Process

The Time-Variance Relationship of Security Returns: Implications for the Return-Generating Stochastic Process