期刊名称：Economics - The Open-Access, Open-Assessment E-Journal
印刷版ISSN：1864-6042
出版年度：2016
卷号：10
页码：1-15
出版社：Kiel Institute for the World Economy
摘要：In this paper, the dynamics of Standard and Poor's 500 (S&P 500) stock price index is analysed within a time-frequency framework over a monthly period 1791:08-2015:05. Using the Empirical Mode Decomposition technique, the S&P 500 stock price index is divided into different frequencies known as intrinsic mode functions (IMFs) and one residual. The IMFs and the residual are then reconstructed into high frequency, low frequency and trend components using the hierarchical clustering method. Using different measures, it is shown that the low frequency and trend components of stock prices are relatively important drivers of the S&P 500 index. These results are also robust across various subsamples identified based on structural break tests. Therefore, US stock prices have been driven mostly by fundamental laws rooted in economic growth and long-term returns on investment.
关键词：Empirical Mode Decomposition; stock prices; S&P 500 Index; United States
Loading...
