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

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  • Lu, Yang-Cheng
  • Chang, Tsangyao
  • Hung, Ken
  • Liu, Wen-Chi

Abstract

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.

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Bibliographic Info

Article provided by Elsevier in its journal Mathematics and Computers in Simulation (MATCOM).

Volume (Year): 80 (2010)
Issue (Month): 10 ()
Pages: 2019-2025

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Handle: RePEc:eee:matcom:v:80:y:2010:i:10:p:2019-2025

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Web page: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/

Related research

Keywords: Mean reversion; Stock prices; G-7 stock markets; Panel stationary test with structural breaks;

References

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