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

共 50 条

[41] International crude oil prices and the stock prices of clean energy and technology companies: Evidence from non-linear cointegration tests with unknown structural breaks
Bondia, Ripsy
Ghosh, Sajal
Kanjilal, Kakali
ENERGY, 2016, 101 : 558 - 565
[42] Testing the predictability of commodity prices in stock returns of G7 countries: Evidence from a new approach
Salisu, Afees A.
Isah, Kazeem O.
Raheem, Ibrahim D.
RESOURCES POLICY, 2019, 64
[43] DOES LONG-RUN PURCHASING POWER PARITY HOLD IN EASTERN AND SOUTHERN AFRICAN COUNTRIES? EVIDENCE FROM PANEL DATA STATIONARY TESTS WITH MULTIPLE STRUCTURAL BREAKS
Hoarau, Jean-Francois
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2010, 15 (04) : 307 - 315
[44] Is monthly US natural gas consumption stationary? New evidence from a GARCH unit root test with structural breaks
Mishra, Vinod
Smyth, Russell
ENERGY POLICY, 2014, 69 : 258 - 262
[45] Does the Fisher hypothesis hold for the G7? Evidence from the panel cointegration test
Ozcan, Burcu
Ari, Ayse
ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, 2015, 28 (01): : 271 - 283
[46] Is there convergence in renewable energy deployment? Evidence from a new panel unit root test with smooth and sharp structural breaks
Corakci, Aysegul
Omay, Tolga
RENEWABLE ENERGY, 2023, 205 : 648 - 662
[47] Resurrecting the size effect: Evidence from a panel nonlinear cointegration model for the G7 stock markets
Apergis, Nicholas
Payne, James E.
REVIEW OF FINANCIAL ECONOMICS, 2014, 23 (01) : 46 - 53
[48] Testing PPP for Central American real exchange rates. Evidence from new panel data stationary tests with structural breaks
Hoarau, Jean-Francois
ECONOMICS BULLETIN, 2008, 6
[49] Renewable energy, economic freedom and economic policy uncertainty: New evidence from a dynamic panel threshold analysis for the G-7 and BRIC countries
Cem Işık
Mihaela Simionescu
Serdar Ongan
Magdalena Radulescu
Zahid Yousaf
Abdul Rehman
Rafael Alvarado
Munir Ahmad
Stochastic Environmental Research and Risk Assessment, 2023, 37 : 3367 - 3382
[50] Stock prices and economic activity nexus in OECD countries: new evidence from an asymmetric panel Granger causality test in the frequency domain
Yilanci, Veli
Ozgur, Onder
Gorus, Muhammed Sehid
FINANCIAL INNOVATION, 2021, 7 (01)

← 1 2 3 4 5 →