Abstract
This paper extends the work in Serletis and Shintani [Serletis A, Shintani M. No evidence of chaos but some evidence of dependence in the US stock market. Chaos, Solitons & Fractals 2003;17:449–454], Elder and Serletis [Elder J, Serletis A. On fractional integrating dynamics in the US stock market. Chaos, Solitons & Fractals [forthcoming, 2007]], and Koustas et al. [Koustas Z, Lamarche J-F, Serletis A. Threshold random walks in the US stock market. Chaos, Solitons & Fractals [forthcoming, 2007]] by examining the empirical evidence for random walk type behavior in the US stock market. In doing so, it uses the FORTRAN 95 program developed by Hinich [Hinich MJ. A statistical theory of signal coherence. IEEE J Oceanic Eng 2000;25:256–261] and detects a statistically significant randomly modulated periodic signal.
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