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Are emerging stock market price indices really stationary?

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Author Info
Chanwit Phengpis
Abstract

This study re-examines the univariate property of stock market price indices in ten emerging markets which are evidenced by prior empirical work, specifically by Chaudhuri and Wu (2003), to be I (0) or stationary. Important findings from variants of standard Dickey and Fuller (1979, 1981) and Zivot and Andrews (1992) unit root tests include: (1) the majority of these price indices can be more appropriately regarded as I (1) or non-stationary, and (2) the I (1) processes in these price indices have been increasingly discernible over time. These results imply non-mean reversion in stock market prices and unpredictability based on past prices in the majority of emerging stock markets under investigation.

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

Volume (Year): 16 (2006)
Issue (Month): 13 (September)
Pages: 931-939
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Handle: RePEc:taf:apfiec:v:16:y:2006:i:13:p:931-939

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  1. Chaudhuri, K. & Wu, Y., 2001. "Random Walk versus Breaking Trend in Stock Prices: Evidence from Emerging Markets," Papers 2000-3, Sydney - Department of Economics.
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  2. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
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  3. Nunes, Luis C & Newbold, Paul & Kuan, Chung-Ming, 1997. "Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 435-48, November.
  4. 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.
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  5. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation, Yale University, revised Sep 1987. [Downloadable!]
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  6. Kanas, Angelos, 1998. "Linkages between the US and European Equity Markets: Further Evidence from Cointegration Tests," Applied Financial Economics, Taylor and Francis Journals, vol. 8(6), pages 607-14, December. [Downloadable!] (restricted)
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  7. Anthony J. Richards, 1996. "Comovements in National Stock Market Returns: Evidence of Predictability but not Cointegration," IMF Working Papers 96/28, International Monetary Fund.
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  8. Serletis, Apostolos & King, Martin, 1997. "Common Stochastic Trends and Convergence of European Union Stock Markets," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 65(1), pages 44-57, January.
  9. Lee, Junsoo & Strazicich, Mark C, 2001. " Break Point Estimation and Spurious Rejections with Endogenous Unit Root Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(5), pages 535-58, December. [Downloadable!] (restricted)
  10. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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