The Time‐Variance Relationship of Security Returns: Implications for the Return‐Generating Stochastic Process
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- Author(s): PHILIP R. PERRY
- Published: Apr 30, 2012
- Pages: 857-870
- DOI: 10.1111/j.1540-6261.1982.tb02228.x
Using a test statistic which specifically allows for parameter shifts over time, we investigate the time‐variance relationship of security returns. The null hypothesis of stationary and independent increments is rejected, and the existence of a complex short‐term reversal phenomenon is reported.