The random walk of stock prices: evidence from a panel of G-7 countries
AbstractIt seems that the random-walk property of stock prices is well established. However, some studies argue that the mean reversion of the stock prices has its theoretical and empirical support and the conventional unit-root tests have weak power against stationary alternatives. This paper uses unit-root tests in panel data to re-examine the time-series properties of the stock prices as it is claimed that the method can increase the power of the tests substantially even with a small number of cross sections. The test result suggests that we cannot reject the random-walk hypothesis for G-7 country stock-price indices.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 5 (1998)
Issue (Month): 7 ()
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- Shyh-Wei Chen, 2008. "Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-11.
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