Hostname: page-component-78c5997874-j824f Total loading time: 0 Render date: 2024-11-09T15:06:28.275Z Has data issue: false hasContentIssue false
  • English
  • Français

On the Stationarity of Transition Probability Matrices of Common Stocks

Published online by Cambridge University Press:  19 October 2009

Bruce D. Fielitz
Get access Rights & Permissions [Opens in a new window]

Extract

Numerous empirical studies have appeared in recent years concerning the behavior of stock market prices. Cootner's book [2] presents an excellent summary of pre-1964 efforts, while Fama's paper [5] discusses some of the more recent work. While a few writers believe that certain price trends and patterns exist which enable the investor to make better predictions of the expected value of future stock price changes, the majority of these studies conclude that past price data alone cannot form the basis for the prediction of the expected value of price movements in the stock market.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 10 , Issue 2 , June 1975 , pp. 327 - 339
Copyright
Copyright © School of Business Administration, University of Washington 1975

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Anderson, T., and Goodman, L.. “Statistical Inference about Markov Chains. Annals of Mathematical Statistics, vol. 28 (March 1957), pp. 89–110.CrossRefGoogle Scholar
[2]Cootner, P., ed. The Random Character of Stock Market Prices. Cambridge, Mass.: The M. I. T. Press, 1964.Google Scholar
[3]Dryden, M. “Share Price Movements: A Markovian Approach.” Journal of Finance, vol. 24 (March 1969), pp. 49–60.Google Scholar
[4]Fama, E. “The Behavior of Stock Market Prices.” Journal of Business, vol. 38 (January 1965), pp. 34–105.CrossRefGoogle Scholar
[5]Fama, E. “The Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, vol. 25 (May 1970), pp. 383–417.CrossRefGoogle Scholar
[6]Fama, E. “Tomorrow on the New York Stock Exchange.” Journal of Business, vol. 38 (July 1965), pp. 285–299.CrossRefGoogle Scholar
[7]Feller, W.An Introduction to Probability Theory and Its Applications, vol. 1. New York: John Wiley and Sons, Inc., 1968.Google Scholar
[8]Fielitz, B., and Bhargava, T. N.. “The Behavior of Stock Price Relatives —A Markovian Analysis.” Operations Research, vol. 21 (November–December 1973), pp. 1183–1199.CrossRefGoogle Scholar
[9]Fielitz, B., and Bhargava, T. N.. “Stationarity of Random Data: Some Implications for the Distribution of Stock Price Changes.” Journal of Financial and Quantitative Analysis, vol. 6 (June 1971), pp. 1025–1034.CrossRefGoogle Scholar
[10]Fisher, L., and Lorie, J.. “Rates of Return on Investments in Common Stock: The Year-by-Year Record, 1926–65.” Journal of Business, vol. 40 (July 1968), pp. 1–26.Google Scholar
[11]Friend, I.; Blume, M.; and Crockett, J.. Mutual Funds and Other Institutional Investors, A New Perspective. New York: McGraw-Hill Book Company, 1970.Google Scholar
[12]Kemeny, J., and Snell, J.. Finite Markov Chains. Princeton, N.J.: D. Van Nostrand and Company, Inc., 1960.Google Scholar
[13]Mandelbrot, B. “The Variations of Certain Speculative Prices.” In The Random Character of Stock Market Prices, edited by Cootner, P.. Cambridge, Mass.: The M. I. T. Press, 1964, pp. 207–332.Google Scholar
[14]Mandelbrot, B. “The Variation of Some Other Speculative Prices. Journal of Business, vol. 40 (October 1967), pp. 393–413.CrossRefGoogle Scholar
[15]Moore, A. “A Statistical Analysis of common Stock Prices.” Unpublished Ph.D. Dissertation, University of Chicago, 1962.Google Scholar
[16]New iork Stock Exchange 1971 Fact Book. New York: The New York Stock Exchange, 1971.Google Scholar
[17]Niederhoffer, V. and Osborne, M. F. M.. “Market Making and Reversal on the Stock Exchange.” Journal of the American Statistical Association, vol. 61 (December 1966), pp. 897–916.CrossRefGoogle Scholar
[18]Ryan, T. M. “Security Prices as Markov Processes.” Journal of Financial and Quantitative Analysis, vol. 8 (January 1973), pp. 17–36.CrossRefGoogle Scholar
[19]Ying, C. “Stock Market Prices and the Volume of Sales.” Econometrica, vol. 34 (July 1966), pp. 676–685.CrossRefGoogle Scholar