Parameter Stationarity in the Distribution of Stock Market Returns
- 1 June 1983
- journal article
- research article
- Published by SAGE Publications in Australian Journal of Management
- Vol. 8 (1) , 83-90
- https://doi.org/10.1177/031289628300800106
Abstract
Population parameters in the distributions of security returns are examined for stationarity. Mean returns are found to be stationary over a sixteen year period. Variances, beta coefficients and covariances between pairs of securities can be taken as stationary in five year periods but not for sixteen years.Keywords
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