Non-linear unit root properties of stock prices: Evidence from India, Pakistan and Sri Lanka
Download full text from publisher
References listed on IDEAS
- Paresh Kumar Narayan, 2005. "Are the Australian and New Zealand stock prices nonlinear with a unit root?," Applied Economics, Taylor & Francis Journals, vol. 37(18), pages 2161-2166.
- Grieb, Terrance & Reyes, Mario G, 1999. "Random Walk Tests for Latin American Equity Indexes and Individual Firms," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(4), pages 371-383, Winter.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Paresh Kumar Narayan & Seema Narayan, 2007. "Mean reversion in stock prices: new evidence from panel unit root tests," Studies in Economics and Finance, Emerald Group Publishing, vol. 24(3), pages 233-244, August.
- Qaiser Munir & Kasim Mansur, 2009. "Is Malaysian Stock Market Efficient? Evidence from Threshold Unit Root Tests," Economics Bulletin, AccessEcon, vol. 29(2), pages 1359-1370.
- Mehmet Caner & Bruce E. Hansen, 2001. "Threshold Autoregression with a Unit Root," Econometrica, Econometric Society, vol. 69(6), pages 1555-1596, November.
- Chaudhuri, Kausik & Wu, Yangru, 2003. "Random walk versus breaking trend in stock prices: Evidence from emerging markets," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 575-592, April.
- Paresh Narayan & Arti Prasad, 2007. "Mean Reversion in Stock Prices: New Evidence from Panel Unit Root Tests for Seventeen European Countries," Economics Bulletin, AccessEcon, vol. 3(34), pages 1-6.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Lim, Kian-Ping & Brooks, Robert D. & Hinich, Melvin J., 2008. "Nonlinear serial dependence and the weak-form efficiency of Asian emerging stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 527-544, December.
- repec:ebl:ecbull:v:3:y:2007:i:34:p:1-6 is not listed on IDEAS
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ekaterina Dorodnykh, 2014. "Determinants of stock exchange integration: evidence in worldwide perspective," Journal of Economic Studies, Emerald Group Publishing, vol. 41(2), pages 292 - 316, March.
- Feyyaz Zeren & Filiz Konuk, 2013. "Testing The Random Walk Hypothesis For Emerging Markets: Evidence From Linear And Non-Linear Unit Root Tests," Romanian Economic Business Review, Romanian-American University, vol. 8(4), pages 61-71, december.
- Ekaterina Dorodnykh, 2013. "What Drives Stock Exchange Integration?," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 6(2), pages 47-79, September.
More about this item
Keywordsnon-linear; unit root; efficient market hypothesis;
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- G0 - Financial Economics - - General
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-09-00712. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.