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• W2167856644 abstract "Recent studies on stock market pricing have rejected the random walk model for short-term periods and have concentrated on long-term persistent or mean-reverting dependence. The problem with these studies is that their statistical results can be biased by the shorter term dependence. Rather than trying to develop a unified theory that explains both short- and long-term dependence, current studies use different methodologies to correct for the short-term dependence while trying to test for long-term dependence. This paper uses a sequential information theory to focus attention on short-term dependence effects. This theory states that the market process is a nonstationary mean process surrounded by a nonstationary autocovariance error process. A nonstationary mean process implies short-term dependence resulting from changing economic events (new information). Long-term persistent dependence then derives from nonperiodic economic cycles. A new empirical approach, a cross-sectional autocorrelation coefficient is used since it is free from the stationarity problems of previous techniques." @default.
• W2167856644 created "2016-06-24" @default.
• W2167856644 creator A5022067133 @default.
• W2167856644 date "1996-05-01" @default.
• W2167856644 modified "2023-09-28" @default.
• W2167856644 title "Market Dependence and Economic Events" @default.
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• W2167856644 doi "https://doi.org/10.1111/j.1540-6288.1996.tb00874.x" @default.
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