Random walk versus multiple trend breaks in stock prices: evidence from 15 European markets
AbstractThis 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 InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.
Volume (Year): 2 (2006)
Issue (Month): 1 (January)
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Web page: http://www.tandf.co.uk/journals/titles/17446546.asp
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