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• W2113308485 abstract "In this paper we use aB ayesian approach to test for mean reversion in the Swedish stock market on monthly data 1918-1998. By simply account for the heteroscedasticty of the data with a two state hidden Markov model of normal distributions and taking estimation bias into account via Gibbs sampling we can find no support of mean reversion. This is a contradiction to previous result from Sweden. Our findings suggest that the Swedish stock market can be characterized by two regimes, a tranquil and a volatile, and within the regimes the stock market is random. This finding of randomness is in line with recent evidence for the U.S stock market." @default.
• W2113308485 created "2016-06-24" @default.
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• W2113308485 date "2000-01-01" @default.
• W2113308485 modified "2023-09-23" @default.
• W2113308485 title "A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market" @default.
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• W2113308485 doi "https://doi.org/10.2139/ssrn.250089" @default.
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