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The Beverton–Holt q-Difference Equation with Periodic Growth Rate Read chapter Read first chapter

2015 | OriginalPaper | Chapter

12. Nonstationarity of Stock Returns

Author : Kekun Wu

Published in: Difference Equations, Discrete Dynamical Systems and Applications

Publisher: Springer International Publishing

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Abstract

Theoretical framework and an appropriate algorithm is developed to measure the nonstationarity (NS) of data streams. With the nonstationary measure, the properties of stock returns are studied. Three experiments illustrate that: the nonstationarity of stock return can not be diversified with big portfolio; nonstationarity, which can explain the risk premium, is positively related to the investing period.

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previous chapter On a Linear Delay Partial Difference Equation with Impulses
next chapter Pricing Convertible Bonds with Credit Risks and Stochastic Interest Rates
Footnotes
1
The selected indices include S&P 500 from the US; FTSE 100, DAX, CAC 40 and EURO STOXX 50 index from Europe; Nikkei 225, Hang Seng Index, SSE Composite Index, Straits Times Index, and S&P/ASX 200 from Asia; and S&P/TSX Composite Index from Canada. For more information about these indices, please visit http://​finance.​yahoo.​com/​stock-center/​.
 
2
The component stocks are as listed on December 01, 2014. For more information about S&P 500 index please visit http://​en.​wikipedia.​org/​wiki/​List_​of_​S%26P_​500_​companies.
 
5
It is observed that in the beginning of 2001, there are only 985 companies are listed on the two stock exchanges in China. After ten years of development this figure increases to 2028 at the end of 2010.
 
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Metadata
Title
Nonstationarity of Stock Returns
Author
Kekun Wu
Copyright Year
2015
Book
Difference Equations, Discrete Dynamical Systems and Applications

Print ISBN: 978-3-319-24745-8

Electronic ISBN: 978-3-319-24747-2

Copyright Year: 2015

DOI
https://doi.org/10.1007/978-3-319-24747-2_12

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