Testing for Nonstationarity of Market: An Exact Test and Power Considerations
用新开发的精确检验方法重新检验股票市场风险的平稳性，发现1951-1974年间纽约证券交易所个股的贝塔值在每八年子区间内均非平稳，并比较了不同检验方法的统计功效以解释与先前研究结果的差异。
This paper reexamines the issue of common stock market risk stationarity by applying a newly available exact test for random-walk regression coefficients. For each eight-year subperiod tested in the 1951-1974 interval, betas for individual New York Stock Exchange-listed stocks appeared to be nonstationary. The statistical powers of the exact test and of locally most powerful tests are compared to the power of the test employed previ? ously by Sunder. These power considerations are cited to explain the differences between test results obtained here and those reported by Sunder.