The Random Walk Hypothesis in Emerging Stock Market-Evidence from Nonlinear Fourier Unit Root Test

被引：0
|
作者：
Oskooe, Seyyed Ali Paytakhti [1 ]
机构：
[1] Islamic Azad Univ, Dept Econ, Oxford Branch, Oxford, England
来源：
WORLD CONGRESS ON ENGINEERING, WCE 2011, VOL I | 2011年
关键词：
Random walk theory; structural breaks; nonlinearity; Fourier function; OIL-PRICE SHOCK; GREAT CRASH; TREND;
D O I：
暂无
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
This study adopts a new unit root test which allows for an unknown number of structural breaks with unknown functional forms and nonlinearity in data generating process of stock prices series to test the random walk hypothesis in an emerging stock market (Iran stock market). The results from nonlinear Fourier unit root test implies that in view of taking into account possible unknown structural breaks and nonlinear behavior in the stock prices series, Iran stock prices index follow random walk theory and is efficient in weak form.
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页码：418 / 422
页数：5
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