Journal of Finance Vol. 37 No. 3 1982
The Time-Variance Relationship of Security Returns: Implications for the Return-Generating Stochastic Process
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.
- DOI
- 10.2307/2327713
- Volume
- 37
- Issue
- 3
- Pages
- 857
- Sources
- openalex crossref