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  • 标题:Efficient market hypothesis in emerging markets: Panel data evidence with multiple breaks and cross sectional dependence
  • 本地全文:下载
  • 作者:Abd Halim Ahmad ; Siti Nurazira Mohd Daud ; W.N.W. Azman-Saini
  • 期刊名称:Economics Bulletin
  • 电子版ISSN:1545-2921
  • 出版年度:2010
  • 卷号:30
  • 期号:4
  • 页码:2987-2995
  • 出版社:Economics Bulletin
  • 摘要:The purpose of this paper is to re-examine whether mean reversion property hold for 15 emerging stock markets for the period 1985 to 2006. Utilizing a panel stationarity test that is able to account for multiple structural breaks and cross sectional dependence, we find that the emerging stock markets follow a random walk process. However, further analysis on individual series show that the majority of stock prices in emerging markets are governed by a mean reverting process. This result, which is inconsistent with efficient market hypothesis, suggests that past information is useful in predicting future prices in most of the markets
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