Hooi Hooi Lean () (Department of Economics, Monash University, Australia; School of Social Sciences, Universiti Sains Malaysia, 11800 Minden, Penang, Malaysia) Russell Smyth () (Department of Economics, Monash University, 900 Dandenong Road, Caulfield East 3145, Australia)
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This paper applies univariate and panel Lagrange Multiplier (LM) unit root tests with one and two structural breaks to examine the random walk hypothesis for stock prices in eight Asian countries. The results from the univariate LM unit root tests and panel LM unit root test with one structural break suggest that stock prices in each country is characterized by a random walk, but the findings from the panel LM unit root test with two structural breaks suggest that stock prices in the eight countries are mean reverting.
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