Mean reversion in G-7 stock prices: Further evidence from a panel stationary test with multiple structural breaks

被引：7

作者：

Lu, Yang-Cheng ^{[2
]}

Chang, Tsangyao ^{[1
]}

Hung, Ken ^{[3
]}

Liu, Wen-Chi ^{[4
]}

机构：

[1] Feng Chia Univ, Dept Finance, Taichung 40724, Taiwan

[2] Ming Chuan Univ, Dept Finance, Taipei, Taiwan

[3] Texas A&M Int Univ, Sanchez Sch Business, Laredo, TX USA

[4] Da Yeh Univ, Dept Finance, Changhua, Taiwan

来源：

MATHEMATICS AND COMPUTERS IN SIMULATION | 2010年 / 80卷 / 10期

关键词：

Mean reversion; Stock prices; G-7 stock markets; Panel stationary test with structural breaks; UNIT-ROOT TESTS; GREAT CRASH; TIME-SERIES; TRENDS; SHOCK; GDP;

D O I：

10.1016/j.matcom.2010.02.010

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

In this study, we use the newly developed and refined panel stationary test with structural breaks to investigate the time-series properties of stock prices for the G-7 stock markets during the 2000-2007 period. The empirical results from numerous earlier panel-based unit root tests which do not take structural breaks into account indicate that stock prices for all the countries we study here are non-stationary; but when we employ panel stationary test with structural breaks, we find the null hypothesis of I(0) stationarity in stock prices cannot be rejected for any of the G-7 stock markets. Our results indicate that the efficient market hypothesis does not hold in these G-7 stock markets. (C) 2010 IMACS. Published by Elsevier B.V. All rights reserved.

引用

页码：2019 / 2025

页数：7

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