Mean Reversion in Industry Stock Price
碩士 === 元智大學 === 財務金融研究所 === 91 === The existing literature suggests that mean reversion is difficult to be detected possibly due to the lack of a reliably long time series or neglecting the fundamental value path. In this study, we focus on examining mean reversion for industry indices of eighteen...
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| Format: | Others |
| Language: | en_US |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/18173414624424686180 |
| Summary: | 碩士 === 元智大學 === 財務金融研究所 === 91 === The existing literature suggests that mean reversion is difficult to be detected possibly due to the lack of a reliably long time series or neglecting the fundamental value path. In this study, we focus on examining mean reversion for industry indices of eighteen countries during the period from 1973 to 2002. By considering a reference index as the proxy of the fundamental value path and exploiting additional cross sectional information gained from panel data, we find evidence of country-specific industry indices converging to certain steady state and mean reverting behavior for Basic Industrials index and Non-Cyclical Consumer Goods index when their corresponding global industry indexes are respectively used as the reference index. No significant profits however are observed through parametric contrarian investment strategies that exploit panel estimates of mean reversion.
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