Mean reversion in G-7 stock prices: Further evidence from a panel stationary test with multiple structural breaks

被引：7

作者：

Lu, Yang-Cheng ^{[2
]}

Chang, Tsangyao ^{[1
]}

Hung, Ken ^{[3
]}

Liu, Wen-Chi ^{[4
]}

机构：

[1] Feng Chia Univ, Dept Finance, Taichung 40724, Taiwan

[2] Ming Chuan Univ, Dept Finance, Taipei, Taiwan

[3] Texas A&M Int Univ, Sanchez Sch Business, Laredo, TX USA

[4] Da Yeh Univ, Dept Finance, Changhua, Taiwan

来源：

MATHEMATICS AND COMPUTERS IN SIMULATION | 2010年 / 80卷 / 10期

关键词：

Mean reversion; Stock prices; G-7 stock markets; Panel stationary test with structural breaks; UNIT-ROOT TESTS; GREAT CRASH; TIME-SERIES; TRENDS; SHOCK; GDP;

D O I：

10.1016/j.matcom.2010.02.010

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

In this study, we use the newly developed and refined panel stationary test with structural breaks to investigate the time-series properties of stock prices for the G-7 stock markets during the 2000-2007 period. The empirical results from numerous earlier panel-based unit root tests which do not take structural breaks into account indicate that stock prices for all the countries we study here are non-stationary; but when we employ panel stationary test with structural breaks, we find the null hypothesis of I(0) stationarity in stock prices cannot be rejected for any of the G-7 stock markets. Our results indicate that the efficient market hypothesis does not hold in these G-7 stock markets. (C) 2010 IMACS. Published by Elsevier B.V. All rights reserved.

引用

页码：2019 / 2025

页数：7

共 28 条

[1] Stock prices and the efficient market hypothesis: Evidence from a panel stationary test with structural breaks
Lee, Chien-Chiang
Lee, Jun-De
Lee, Chi-Chuan
JAPAN AND THE WORLD ECONOMY, 2010, 22 (01) : 49 - 58
[2] MEAN REVERSION IN STOCK PRICES OF G7 COUNTRIES: EVIDENCE FROM PANEL SURADF AND PANEL SURKSS TESTS
Yilanci, Veli
ACTUAL PROBLEMS OF ECONOMICS, 2012, (131): : 380 - 385
[3] Mean reversion in stock prices: new evidence from panel unit root tests
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STUDIES IN ECONOMICS AND FINANCE, 2007, 24 (03) : 233 - +
[4] Mean reversion in stock prices of seven Asian stock markets: Unit root test and stationary test with Fourier functions
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INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2015, 37 : 157 - 164
[5] Purchasing power parity for East-Asia countries: further evidence based on panel stationary test with multiple structural breaks
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Li, Ding
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APPLIED ECONOMICS, 2011, 43 (24) : 3289 - 3298
[6] INCOME CONVERGENCE IN AFRICAN COUNTRIES: EVIDENCE FROM A STATIONARY TEST WITH MULTIPLE STRUCTURAL BREAKS
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[7] Are stock prices stationary? Some new evidence from a panel data approach
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STUDIES IN ECONOMICS AND FINANCE, 2014, 31 (04) : 387 - 405
[8] Mean reversion in Asia-Pacific stock prices: New evidence from quantile unit root tests
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Valera, Harold Glenn A.
Valera, Maria Luisa G.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2021, 73 : 214 - 230
[9] Shocks to G7 stock prices have a permanent effect? Evidence from panel unit root tests with structural change
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MATHEMATICS AND COMPUTERS IN SIMULATION, 2008, 77 (04) : 369 - 373
[10] Evidence on PPP for selected Asian countries from a panel cointegration test with structural breaks
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APPLIED ECONOMICS, 2010, 42 (03) : 325 - 332

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