Multiple Level Breaks in US Stock Prices

In this paper we analyse evidence for level breaks in the price series comprising the NASDAQ-100 index over the period 2001-2007. We make use of a recently developed methodology that allows robust inference regarding the presence of breaks to be drawn irrespective of whether or not a unit root is present in the data, and whether the underlying innovations are normally or non-normally distributed. We nd evidence for one or more level breaks in almost half the series considered, suggesting that appropriate allowance for breaks should be made when modelling or forecasting using these data.