SPECTRAL ANALYSIS OF NEW YORK STOCK MARKET PRICES

Abstract

New York stock price series are analyzed by a new statistical technique. It is found that short-run movements of the series obey the simple random walk hypothesis proposed by earlier writers, but that the long-run components are of greater importance than suggested by this hypothesis. The seasonal variation and the ‘businesscycle’ components are shown to be of little or no importance and a surprisingly small connection was found between the amount of stocks sold and the stock price series.