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

  • Paresh Kumar Narayan
  • Russell Smyth

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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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. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
  2. 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.
  3. 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.
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