Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century

@inproceedings{Spierdijk2010MeanRI,
  title={Mean Reversion in International Stock Markets: An Empirical Analysis of the 20th Century},
  author={Laura Spierdijk and Jacob Antoon Bikker and Pieter van den Hoek},
  year={2010}
}
This paper analyzes mean reversion in international stock markets during the period 1900-2008, using annual data. Our panel of stock indexes in seventeen developed countries, covering a time span of more than a century, allows us to analyze in detail the dynamics of the mean-reversion process. In the period 1900-2008 it takes stock prices about 13.8 years, on average, to absorb half of a shock. However, using a rolling-window approach we establish large fluctuations in the speed of mean… CONTINUE READING