کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963643 | 930381 | 2007 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Mean reversion versus random walk in G7 stock prices evidence from multiple trend break unit root tests
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper provides evidence on the random walk hypothesis in G7 stock price indices using unit root tests which allow for one and two structural breaks in the trend. Of the seven countries we find, at best, evidence of mean reversion in the stock price index of Japan. Thus, overall, our results support the random walk hypothesis. We also consider the implications of the identified structural breaks for movement in stock prices over time. Our main conclusion from this exercise is that the second break in stock prices has had a detrimental effect on movements in stock prices in the G7 countries.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 17, Issue 2, April 2007, Pages 152-166
Journal: Journal of International Financial Markets, Institutions and Money - Volume 17, Issue 2, April 2007, Pages 152-166
نویسندگان
Paresh Kumar Narayan, Russell Smyth,