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The Identical Distribution Hypothesis for Stock Market Prices—Location- and Scale-Shift Alternatives

The Identical Distribution Hypothesis for Stock Market Prices—Location- and Scale-Shift Alternatives Abstract This article explores the identical distribution hypothesis for stock-price changes through a set of optimum non-parametric tests for randomness against location- and scale-shift alternatives. An application of these tests to the daily, weekly, monthly, and quarterly rates of return from 1966 through 1976 for each of the first 15 stocks in the Dow Jones Industrial Average reveals that these series may have constant location parameters throughout the sample period, but the stability of their scale parameters is questionable. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of the American Statistical Association Taylor & Francis

The Identical Distribution Hypothesis for Stock Market Prices—Location- and Scale-Shift Alternatives

The Identical Distribution Hypothesis for Stock Market Prices—Location- and Scale-Shift Alternatives

Journal of the American Statistical Association , Volume 77 (377): 10 – Mar 1, 1982

Abstract

Abstract This article explores the identical distribution hypothesis for stock-price changes through a set of optimum non-parametric tests for randomness against location- and scale-shift alternatives. An application of these tests to the daily, weekly, monthly, and quarterly rates of return from 1966 through 1976 for each of the first 15 stocks in the Dow Jones Industrial Average reveals that these series may have constant location parameters throughout the sample period, but the stability of their scale parameters is questionable.

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References (17)

Publisher
Taylor & Francis
Copyright
Copyright Taylor & Francis Group, LLC
ISSN
1537-274X
eISSN
0162-1459
DOI
10.1080/01621459.1982.10477762
Publisher site
See Article on Publisher Site

Abstract

Abstract This article explores the identical distribution hypothesis for stock-price changes through a set of optimum non-parametric tests for randomness against location- and scale-shift alternatives. An application of these tests to the daily, weekly, monthly, and quarterly rates of return from 1966 through 1976 for each of the first 15 stocks in the Dow Jones Industrial Average reveals that these series may have constant location parameters throughout the sample period, but the stability of their scale parameters is questionable.

Journal

Journal of the American Statistical AssociationTaylor & Francis

Published: Mar 1, 1982

Keywords: Identical distribution hypothesis; Non-parametric tests; Stock-price changes

There are no references for this article.