This paper seeks to ascertain whether shocks to hedge fund returns are permanent or temporary by using M1 and M2 unit root procedures advanced by Narayan and Popp. In addition, the paper implements the GARCH-based unit root test developed by Liu and Narayan. These procedures allow for two...

Stationarity tests are used to detect mean reversion in a certain dataset. Mean Reversion processes suggest a non-random behavior in a time series (Lo and MacKinley, 1988). Previous research has focused on studying mean reversion at stock price level (Debondt and Thaler, 1985; Lindemann et al.,...