Statistical Illusions and Long-Term Return Anomalies on the Nikkei

Jonathan Batten, Craig Ellis and Thomas Fetherston, STATISTICAL ILLUSIONS AND LONG-TERM RETURN ANOMALIES ON THE NIKKEI, CHAOS, SOLTIONS & FRACTAL, Vol. 23, pp.1125-1136, Elsevier Science, 2005

Posted: 2 Aug 2005

See all articles by Jonathan A. Batten

Jonathan A. Batten

RMIT University

Craig Ellis

Education Centre Australia

Thomas Fetherston

University of Alabama at Birmingham

Abstract

This study investigates the sensitivity of the long-term return anomaly observed on the Nikkei stock index to sample and method bias using daily data from the period 3 January 1980 to 31 October 2000. Initially, the CUSUM statistic is employed to identify sub-periods of sign shifts in the mean returns. We find that the null hypothesis of no long-term dependence is accepted for the whole sample and every sub-period using the modified rescaled range test, but not using the classical rescaled adjusted range test. We conclude that researchers may inadvertently introduce sample and method bias into their studies of the time series properties of the Nikkei unless sample period and method are considered.

Keywords: Long-term dependence, Return Anomalies, CUSUM, Rescaled-range statistic, Hurst statistic, Nikkei

JEL Classification: C1, F3, G15

Suggested Citation

Batten, Jonathan A. and Ellis, Craig and Fetherston, Thomas A., Statistical Illusions and Long-Term Return Anomalies on the Nikkei. Jonathan Batten, Craig Ellis and Thomas Fetherston, STATISTICAL ILLUSIONS AND LONG-TERM RETURN ANOMALIES ON THE NIKKEI, CHAOS, SOLTIONS & FRACTAL, Vol. 23, pp.1125-1136, Elsevier Science, 2005, Available at SSRN: https://ssrn.com/abstract=761864

Jonathan A. Batten (Contact Author)

RMIT University ( email )

Level 12, 239 Bourke Street
Melbourne, Victoria
Australia

HOME PAGE: http://https://www.rmit.edu.au/contact/staff-contacts/academic-staff/b/batten-professor-jonathan

Craig Ellis

Education Centre Australia ( email )

Sydney
Australia

Thomas A. Fetherston

University of Alabama at Birmingham ( email )

Birmingham, AL 35294
United States
205-934-8860 (Phone)
205-975-6234 (Fax)

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