کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1139700 | 956690 | 2010 | 7 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Mean reversion in G-7 stock prices: Further evidence from a panel stationary test with multiple structural breaks
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موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 80, Issue 10, June 2010, Pages 2019–2025
Journal: Mathematics and Computers in Simulation - Volume 80, Issue 10, June 2010, Pages 2019–2025
نویسندگان
Yang-Cheng Lu, Tsangyao Chang, Ken Hung, Wen-Chi Liu,