Abstract
New York stock price series are analyzed by a new statistical technique. It is found that short-run movements of the series obey the simple random walk hypothesis proposed by earlier writers, but that the long-run components are of greater importance than suggested by this hypothesis. The seasonal variation and the ‘businesscycle’ components are shown to be of little or no importance and a surprisingly small connection was found between the amount of stocks sold and the stock price series.
Keywords
EconometricsEconomicsStock (firearms)Random walkRandom walk hypothesisEfficient-market hypothesisStock marketSeries (stratigraphy)Stock priceFinancial economicsSpectral analysisMathematicsStatisticsGeography
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Publication Info
- Year
- 1963
- Type
- article
- Volume
- 16
- Issue
- 1
- Pages
- 1-27
- Citations
- 381
- Access
- Closed
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Cite This
Clive W. J. Granger,
Oskar Morgenstern
(1963).
SPECTRAL ANALYSIS OF NEW YORK STOCK MARKET PRICES.
Kyklos
, 16
(1)
, 1-27.
https://doi.org/10.1111/j.1467-6435.1963.tb00270.x
Identifiers
- DOI
- 10.1111/j.1467-6435.1963.tb00270.x