Title: The Sample Spectrum and Unit Root
Tests
for Chinese Stock Markets’ Indexes Returns of 2007
Abstract: The implications of stationarity
and
periodic components in macroeconomic data are profound. Whether do
periodic
components have relation to stationarity of time series?
Nonstationarity
of time series is often due to the unit root. It is important for unit
root
tests to select the appropriate number of lags. The sample spectrum is
widely
used to investigate time series’ periodic components and the cycle
frequency.
We integrate the autocorrelation function (ACF) and the sample spectrum
with
unit root tests to examine time series’ stationarity in this paper. In
our
empirical analysis for two returns series of Chinese stock markets’
indexes
in 2007, nonstationarity is not rejected for two returns series when we
select
the number of lags of unit root test in light of results of the ACF and
the
sample spectrum. Therefore, there seems to be some evidence that
periodic
components have relation to stationarity of two returns series.
Authors: Shu Quan Lu and Shi Yu Xie
