REVISITING MEAN REVERSION IN THE STOCK PRICES OF NINE TRANSITION COUNTRIES: THRESHOLD UNIT ROOT TEST

In this study, we use the threshold unit root test proposed by Caner and Hansen (2001) to re-investigate the time-series properties of stock prices for the nine transition countries during the 2000.10. to 2010.11 period. The empirical results from our threshold unit test indicate that the null hypothesis of 1(1) unit root in stock prices can not be rejected for any of these transition countries, with the exception of Estonia and Latvia two countries. Our results highlight the efficient market hypothesis does hold in these transition stock markets, with the exception of the Estonia and Latvia two stock markets.