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Testing for Nonstationarity of Market Risk: An Exact Test and Power Considerations

Abstract 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 previously by Sunder. These power considerations are cited to explain the differences between test results obtained here and those reported by Sunder.