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Random walk versus multiple trend breaks in stock prices: evidence from 15 European markets

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  • Paresh Kumar Narayan
  • Russell Smyth

Abstract

This letter extends research reported in Narayan and Smyth (2005) by employing multiple trend break unit root tests to examine the random walk hypothesis for 15 European stock market indices. The results provide strong support for the view that stock prices are characterized by a random walk.

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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 2 (2006)
Issue (Month): 1 (January)
Pages: 1-7

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Handle: RePEc:taf:apfelt:v:2:y:2006:i:1:p:1-7

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  1. Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
  2. Paresh Kumar Narayan & Russell Smyth, 2005. "Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models," Applied Financial Economics, Taylor & Francis Journals, vol. 15(8), pages 547-556.
  3. Robin L. Lumsdaine & David H. Papell, 1997. "Multiple Trend Breaks And The Unit-Root Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 212-218, May.
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Cited by:
  1. repec:ebl:ecbull:v:3:y:2008:i:11:p:1-11 is not listed on IDEAS
  2. Chancharat, Surachai & Kamalian, Amin Reza & Valadkhani, Abbas, 2009. "Random Walk and Multiple Structural Breaks In Thai Stock Market," MPRA Paper 50395, University Library of Munich, Germany.
  3. 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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