The inconclusiveness could be due to trying to model the possible non-linearity through random field or STR models. It could also be by examining the behaviour of the consistent semi-parametric estimators of d in line with expectations of the Fractionally Augmented Dickey-Fuller test. It is likely that the quest for a coherent theory of the stock market will continue to stimulate the intellect of academic researchers. It is apparent that, over the years, the field has made much progress and that without such sustained research efforts the issue would remain unresolved.
The fresh insights on the speculative component have opened up several avenues for fruitful research. Even small amounts of irrationality could have significant economic effects. The social welfare implications of an irrational and speculative stock market, and the policies to control such behaviour (if desirable) could be a profitable area for future research. Future research should include situational control such as in the Al-Loughani & Chappell. The control was in choosing a time period with a consistent Prime Minster, Margaret Thatcher, and Chancellor of the Exchequer, Nigel Lawson.
In controlling these aspects, they managed to eliminate a variable of contention.
Al-Loughani, N. & Chappell, D. (1997). “On the validity of the weak-form
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Bernstein, P. L. (1985). “Does the stock market overreact: Discussion. ” The Journal of Finance 40(3), 806-808. Clare, A. D. , Priestley, R. & Thomas, S. H. (1997). “Stock return predictability or mis-measured risk? ” Applied Financial Economics (7), 679-687. Clare, A. D. & Thomas, S. H. (1994). “Macroeconomics factors, the apt and the UK stock market. ” Journal of Business, Finance and Accounting 21(3), 309-330. Dahl, C. M. & Gonzalez-Riviera, G. (2003). “Testing for neglected nonlinearity in regression models based on the theory of random fields. ” Journal of Econometrics (114), 141-164.