A GARCH model for testing market efficiency

被引：52

作者：

Narayan, Paresh Kumar ^{[1
]}

Liu, Ruipeng ^{[2
]}

Westerlund, Joakim ^{[3
,4
]}

机构：

[1] Deakin Univ, Dept Finance, Ctr Financial Econometr, Deakin Business Sch, Geelong, Vic 3217, Australia

[2] Deakin Univ, Dept Finance, Deakin Business Sch, Geelong, Vic 3217, Australia

[3] Lund Univ, Dept Econ, S-22100 Lund, Sweden

[4] Deakin Univ, Dept Finance, Ctr Financial Econometr, Geelong, Vic 3217, Australia

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2016年 / 41卷

关键词：

Efficient market hypothesis; GARCH; Unit root; Structural break; Stock price; UNIT-ROOT TESTS; TIME-SERIES REGRESSION; STOCK RETURNS; MEAN REVERSION; OIL PRICE; LIMITING DISTRIBUTIONS; ASYMPTOTIC THEORY; RANDOM-WALK; VARIANCE; BREAKS;

D O I：

10.1016/j.intfin.2015.12.008

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper we propose a generalised autoregressive conditional heteroskedasticity (GARCH) model-based test for a unit root. The model allows for two endogenous structural breaks. We test for unit roots in 156 US stocks listed on the NYSE over the period 1980 to 2007. We find that the unit root null hypothesis is rejected in 40% of the stocks, and only in four out of the nine sectors the null is rejected for over 50% of stocks. We conclude with an economic significance analysis, showing that mostly stocks with mean reverting prices tend to outperform stocks with non-stationary prices. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：121 / 138

页数：18

共 65 条

[1] Detecting multiple breaks in financial market volatility dynamics [J].

Andreou, E ;

Ghysels, E .

JOURNAL OF APPLIED ECONOMETRICS, 2002, 17 (05) :579-600

[2]

[Anonymous], J EC

[3] Computation and analysis of multiple structural change models [J].

Bai, J ;

Perron, P .

JOURNAL OF APPLIED ECONOMETRICS, 2003, 18 (01) :1-22

[4] Estimating and testing linear models with multiple structural changes [J].

Bai, JS ;

Perron, P .

ECONOMETRICA, 1998, 66 (01) :47-78

[5] Nonlinear mean reversion in stock prices [J].

Bali, Turan G. ;

Demirtas, K. Ozgur ;

Levy, Haim .

JOURNAL OF BANKING & FINANCE, 2008, 32 (05) :767-782

[6] Mean reversion across national stock markets and parametric contrarian investment strategies [J].

Balvers, R ;

Wu, YR ;

Gilliland, E .

JOURNAL OF FINANCE, 2000, 55 (02) :745-772

[7] GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J].

BOLLERSLEV, T .

JOURNAL OF ECONOMETRICS, 1986, 31 (03) :307-327

[8] LIMITING DISTRIBUTIONS OF LEAST-SQUARES ESTIMATES OF UNSTABLE AUTOREGRESSIVE PROCESSES [J].

CHAN, NH ;

WEI, CZ .

ANNALS OF STATISTICS, 1988, 16 (01) :367-401

[9] Random walk versus breaking trend in stock prices: Evidence from emerging markets [J].

Chaudhuri, K ;

Wu, YR .

JOURNAL OF BANKING & FINANCE, 2003, 27 (04) :575-592

[10] DOES THE STOCK-MARKET OVERREACT [J].

DEBONDT, WFM ;

THALER, R .

JOURNAL OF FINANCE, 1985, 40 (03) :793-805

← 1 2 3 4 5 6 7 →